TY - CHAP
T1 - THE EFFICIENCY OF THE JAPANESE EQUITY MARKET
AU - Nagayasu, Jun
PY - 2003
Y1 - 2003
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=36148946723&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=36148946723&partnerID=8YFLogxK
U2 - 10.1016/S1569-3767(03)04008-1
DO - 10.1016/S1569-3767(03)04008-1
M3 - Chapter
AN - SCOPUS:36148946723
SN - 0762310685
SN - 9780762310685
T3 - International Finance Review
SP - 155
EP - 171
BT - The Japanese Finance
PB - JAI Press
ER -