The Efficiency of the Japanese Equity Market
By:Mr. Jun Nagayasu
Published on 2003-07-01 by International Monetary Fund
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.
This Book was ranked at 35 by Google Books for keyword markets and efficiency.
Book ID of The Efficiency of the Japanese Equity Market's Books is kIF97IkthBUC, Book which was written byMr. Jun Nagayasuhave ETAG "A/02o5RznAM"
Book which was published by International Monetary Fund since 2003-07-01 have ISBNs, ISBN 13 Code is 9781452737096 and ISBN 10 Code is 1452737096
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