“Volatility Anomaly” in the Japanese Equity Market and Behavior of Foreign Institutional and Domestic Individual Investors

DOI

Bibliographic Information

Other Title
  • 海外投資家・個人投資家の投資行動と日本株の「ボラティリティ・アノマリー」

Description

It is widely known that stocks with higher historical volatility tend to produce lower subsequent return in equity markets across the world. We show that “volatility anomaly” in the Japanese equity market is attributable to foreign institutional investors and domestic individual investors who trade stocks on margin. First, the anomaly weakens or disappears when investments of foreign investors and domestic individual investors who trade stocks on margin increase, while it strengthens when their investments decrease. Second, when investments by foreign investors rise, they buy stocks with high historical volatility more than stocks with low historical volatility, whereas when their investments shrink, they sell stocks with high historical volatility more than stocks with low historical volatility. When investments of domestic individual investors who trade stocks on margin shrink, they also sell stocks with high historical volatility more than stocks with low historical volatility.

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Keywords

Details 詳細情報について

  • CRID
    1390001205345771264
  • NII Article ID
    130004554899
  • DOI
    10.11167/jbef.4.75
  • ISSN
    21853568
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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