The Efficiency of the Japanese Equity Market
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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.
Series:
Working Paper No. 2003/142
Subject:
Financial institutions Financial markets Stock markets Stocks
English
Publication Date:
July 1, 2003
ISBN/ISSN:
9781451856279/1018-5941
Stock No:
WPIEA1422003
Pages:
23
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