The Efficiency of the Japanese Equity Market

WPIEA1422003 Image
Price:  $15.00

Author/Editor: Jun Nagayasu
Release Date: © July, 2003
ISBN : 978-1-45185-627-9
Stock #: WPIEA1422003
Stock Status: On back-order

Languages and formats available



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.

More publications in this series: Working Papers

More publications by: Jun Nagayasu