Structural Change in the Efficiency of the Japanese Stock Market after the Millennium

Terence Tai Leung Chong () and Sheung Tat Chan ()
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Sheung Tat Chan: Deparment of Economics, The Chinese University of Hong Kong

Economics Bulletin, 2008, vol. 7, issue 7, pages 1-7

Abstract: The Japanese stock market has important linkages with stock markets worldwide. This note examines whether the Japanese stock market is efficient in the past two decades. The profitability of various time-series model based trading rules is evaluated. It is found that most of these trading rules are not profitable, suggesting that the Japanese stock market is efficient since the mid 1980¡¦s. The efficiency has been slightly improved after the millennium.

Keywords: Trading Rules; Millennium; Market Efficiency. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2008-04-21
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