We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

I will investigate the short-term and the long-term characteristics of Japanese daily overnight call rate between 1985 and 1999 and compare it with the U.S. federal funds rate during the same period. Such long-term data for the former has not been utilized in the previous studies. When we...