Market-wide price co-movement around crashes in the Tokyo Stock Exchange

Preprint English OPEN
Maskawa, Jun-ichi; Murai, Joshin; Kuroda, Koji;
  • Subject: Quantitative Finance - Statistical Finance

As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years during 2007--2009. Results of d... View more
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