Structural Change in the Efficiency of the Japanese Stock Market after the Millennium

The Japanese stock market has important linkages with stock markets worldwide. This note examines whether the Japanese stock market is efficient in the past two decades. The profitability of various time-series model based trading rules is evaluated. It is found that most of these trading rules are not profitable, suggesting that the Japanese stock market is efficient since the mid 1980Â¡Â¦s. The efficiency has been slightly improved after the millennium.

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Year of publication:	2008
Authors:	Chong, Terence Tai-Leung ; Chan, Sheung Tat
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2008, 7, p. 1-7
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005196487