The Intertemporal Relation Between the U.S. and Japanese Stock Markets
发现美国股市前一日开盘至收盘收益率与日本股市当期表现高度相关，但日本市场对美国影响较小；考虑交易成本后，套利利润消失。
ABSTRACT This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included.