This study investigates the 'term structure'; of implied volatilities of the NIKKEI 225 index options in order to examine the existence of investors' overreaction in the options markets in Japan. According to the rational expectations theory, the implied volatility on a longer maturity option...

It has been empirically shown in the USA that a positive slope of the yield curve is associated with a future increase in real economic activity. However, the present study's empirical examination reveals that the term structure in Japan has almost no predictive power for real economic changes,...

Theory predicts that, if stock and stock index futures markets operate efficiently, price movements in these markets should follow a first-order vector error correction model in which the error correction term represents the basis, and in which there are no regimes. However, following Brooks and...

This paper tests the expectations hypothesis of the term structure of interest rates in seven major international markets from the perspective of behavioural finance. Using a cointegration and error correction approach, we find significant empirical support for the expectations hypothesis for...