THE EFFICIENCY OF THE JAPANESE EQUITY MARKET

Abstract

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.

Citation

Nagayasu, J. (2003), "THE EFFICIENCY OF THE JAPANESE EQUITY MARKET", Choi, J.J. and Hiraki, T. (Ed.) The Japanese Finance: Corporate Finance and Capital Markets in ... (International Finance Review, Vol. 4), Emerald Group Publishing Limited, Leeds, pp. 155-171. https://doi.org/10.1016/S1569-3767(03)04008-1