Title The efficiency of the Japanese equity market / Jun Nagayasu

Published Washington, D.C : International Monetary Fund, ©2003

Click on the following:
IMF eLibrary

Copies

Description 1 online resource (22 pages) : illustrations Series IMF working paper, 2227-8885 ; WP/03/142 IMF working paper ; WP/03/142. Summary 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 Bibliography Includes bibliographical references (pages 15-16) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL English digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Stock exchanges -- Japan -- Econometric models Stocks -- Japan -- Econometric models Efficient market theory -- Econometric models -- Japan Efficient market theory. Stock exchanges -- Econometric models. Stocks -- Econometric models. Japan. Form Electronic book Author International Monetary Fund. Statistics Department. ISBN 1451901461 9781451901467 1462327699 9781462327690 1452737096 9781452737096 1282108212 9781282108219 9786613801562 6613801569

  Permalink