The Efficiency of the Japanese Equity Market

 
Author/Editor: Nagayasu, Jun
 
Publication Date: July 01, 2003
 
Electronic Access: Free Full text (PDF file size is 603KB).
Use the free Adobe Acrobat Reader to view this PDF file

 
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.
 
Series: Working Paper No. 03/142
Subject(s): Stock markets | Japan | Economic models

Author's Keyword(s): Nikkei 225 | Afrima | Arfina-Figarch
 
English
Publication Date: July 01, 2003
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA1422003 Pages: 22
Price:
US$15.00 (Academic Rate:
US$15.00 )
 
 
Please address any questions about this title to publications@imf.org