The Efficiency of the Japanese Equity Market

ByJun Nagayasu

July 1, 2003

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.

Subject: Financial institutions, Financial markets, Stock markets, Stocks

Keywords: AFRIMA, ARFIMA-FIGARCH, equity data, equity market, equity options trading, equity price, equity return data exhibit, Global, market efficiency, market hypothesis, market inefficiency, market pricing, Nikkei 225, Stock markets, Stocks, WP

Pages:
23
Volume:
2003
DOI:
https://doi.org/10.5089/9781451856279.001
Issue:
142
Series:
Working Paper No. 2003/142
Stock No:
WPIEA1422003
ISBN:
9781451856279
ISSN:
1018-5941

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