The Efficiency of the Japanese Equity Market

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

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Year of publication:	[2006]
Authors:	Nagayasu, Jun
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (23 p)
Series:	IMF Working Paper, Vol. , pp. 1-23, 2003
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2003 erstellt
Other identifiers:	10.2139/ssrn.879218 [DOI]
Classification:	G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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