{
  "title": "The Efficiency of the Japanese Equity Market",
  "publication": "IMF Working Papers, July 1, 2003",
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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).",
  "sections": [
    {
      "heading": "Summary and primary finding",
      "content": "- 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.\n- It shows that both return and volatility follow a long range dependence, which stands against the efficient market hypothesis (EMH).\n- The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains."
    },
    {
      "heading": "Methodology",
      "content": "- Model used: ARFIMA-FIGARCH.\n- Data focus: return and volatility of the Nikkei 225."
    },
    {
      "heading": "Detailed findings",
      "content": "- Long range dependence observed in:\n  - Return of the Nikkei 225.\n  - Volatility of the Nikkei 225.\n- Implication: Evidence runs counter to the efficient market hypothesis (EMH).\n- Robustness: Results hold across all sample periods analyzed, indicating limited impact from recent equity market reform on market efficiency."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subject: Financial institutions, Financial markets, Stock markets, Stocks\n- Keywords: AFRIMA, ARFIMA-FIGARCH, equity data, equity market, equity options trading, equity price, equity return data exhibit, Global, market efficiency, market hypothesis, market inefficiency, market pricing, Nikkei 225, Stock markets, Stocks, WP"
    },
    {
      "heading": "Key statistics and identifiers",
      "content": "- Author: Jun Nagayasu\n- Publication date: July 1, 2003\n- Pages: 23\n- Volume: 2003\n- Issue: 142\n- Series: Working Paper No. 2003/142\n- DOI: https://doi.org/10.5089/9781451856279.001\n- Stock No: WPIEA1422003\n- ISBN: 9781451856279\n- ISSN: 1018-5941\n\nSource: The Efficiency of the Japanese Equity Market, IMF Working Paper No. 2003/142.\n\n---\n\n Content in this bundle\n\n- The Efficiency of the Japanese Equity Market - WP/03/142\n  - The Efficiency of the Japanese Equity Market - WP/03/142 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - The Efficiency of the Japanese Equity Market - WP/03/142 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/the-efficiency-of-the-japanese-equity-market-16449"
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    "Authors: Jun Nagayasu",
    "Published: July 1, 2003",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451856279.001",
    "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 return and volatility 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.",
    "Model used: ARFIMA-FIGARCH.",
    "Data focus: return and volatility of the Nikkei 225.",
    "Long range dependence observed in:",
    "Implication: Evidence runs counter to the efficient market hypothesis (EMH).",
    "Robustness: Results hold across all sample periods analyzed, indicating limited impact from recent equity market reform on market efficiency.",
    "Subject: Financial institutions, Financial markets, Stock markets, Stocks",
    "Keywords: AFRIMA, ARFIMA-FIGARCH, equity data, equity market, equity options trading, equity price, equity return data exhibit, Global, market efficiency, market hypothesis, market inefficiency, market pricing, Nikkei 225, Stock markets, Stocks, WP",
    "Author: Jun Nagayasu",
    "Publication date: July 1, 2003",
    "Pages: 23",
    "Volume: 2003",
    "Issue: 142",
    "Series: Working Paper No. 2003/142",
    "DOI: https://doi.org/10.5089/9781451856279.001",
    "Stock No: WPIEA1422003",
    "ISBN: 9781451856279",
    "ISSN: 1018-5941",
    "**The Efficiency of the Japanese Equity Market - WP/03/142**"
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