Download This PaperThe Efficiency of the Japanese Equity Market
23 Pages Posted: 30 Jan 2006
Date Written: July 2003
Abstract
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.
Keywords: Nikkei 225, AFRIMA, ARFIMA-FIGARCH
JEL Classification: G1
Suggested Citation: Suggested Citation
Nagayasu, Jun, The Efficiency of the Japanese Equity Market (July 2003). IMF Working Paper No. 03/142, Available at SSRN: https://ssrn.com/abstract=879218
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