The Efficiency of the Japanese Equity Market

Author/Editor:

Jun Nagayasu

Publication Date:

July 1, 2003

Electronic Access:

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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.

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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