## The Efficiency of the Japanese Equity Market

_IMF Working Papers, July 1, 2003_

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## Bibliographic details
- Authors: Jun Nagayasu
- Published: July 1, 2003
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451856279.001

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### Summary and primary finding
- 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.

### Methodology
- Model used: ARFIMA-FIGARCH.
- Data focus: return and volatility of the Nikkei 225.

### Detailed findings
- Long range dependence observed in:
  - Return of the Nikkei 225.
  - Volatility of the Nikkei 225.
- 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.

### Subjects and keywords
- 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

### Key statistics and identifiers
- 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

*Source: The Efficiency of the Japanese Equity Market, IMF Working Paper No. 2003/142.*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/the-efficiency-of-the-japanese-equity-market-16449_