Always on the lookout for the sublimely unusual, I bring to your attention yet another weird and wonderful phenomenon that is crying out for an explanation: Why are USA holidays more strongly "reversion days" in the cross-section of Japanese Stock Market equity returns than the average day?
Perhaps my feeble understanding of physics will help, particularly the Second Law of Thermodynamics which in simple terms posits: Energy spontaneously tends to flow only from being concentrated in one place to becoming diffused or dispersed and spread out. How does this relate to Japan Stocks, one might ask? Quite simply, large yankee investors/traders/purchasers of Japanese equities seem to have a penchant for focusing their buying & selling attentions and thus moving prices in the opposite direction of the level at which they might - other things being the same - come to a rest. FOllowing in America's democratic tradition, this seems to apply more or less equally for the leaders as the laggards.
One might suppose that the lure of "Beer & Dogs" with friends and family is (at least occasionally and even for VIP traders and portfolio managers) stronger than the fun and games derived from tape-watching the TSE or selling and buying more of the same to excess. Excess as least if thought of in terms of entropy.
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