THE EFFICIENCY OF THE JAPANESE EQUITY MARKET

Research output: Chapter in Book/Report/Conference proceedingChapter

8 Citations (Scopus)

Abstract

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the returns and volatility of the Nikkei 225. It shows that both follow a long-range dependence, which stands against the applicability of the efficient market hypothesis. The result is valid for all sample periods, suggesting that the Japanese market remains inefficient despite the recent equity market reform.

Original languageEnglish
Title of host publicationThe Japanese Finance
Subtitle of host publicationCorporate Finance and Capital Markets in ...
Pages155-171
Number of pages17
DOIs
Publication statusPublished - 2003 Dec 1
Externally publishedYes

Publication series

NameInternational Finance Review
Volume4
ISSN (Print)1569-3767

ASJC Scopus subject areas

  • Finance

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