The Efficiency of the Japanese Equity Market

Jun Nagayasu

No 2003/142, IMF Working Papers from International Monetary Fund

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: WP; equity market; Nikkei 225; AFRIMA; ARFIMA-FIGARCH; market efficiency; equity price; market pricing; equity data; equity return data exhibit; equity options trading; market hypothesis; market inefficiency; Stocks; Stock markets; Global (search for similar items in EconPapers)
Pages: 23
Date: 2003-07-01
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Citations: View citations in EconPapers (15)

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