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.
|Title of host publication||The Japanese Finance|
|Subtitle of host publication||Corporate Finance and Capital Markets in ...|
|Number of pages||17|
|Publication status||Published - 2003 Dec 1|
|Name||International Finance Review|
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