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Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market

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  • Tetsuya Takaishi

    (Hiroshima University of Economics, Hiroshima 731-0192, Japan)

Abstract

This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their early stages and improve gradually. TOPIX and TOPIX-Small showed an anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not show that the Japanese markets are permanently efficient. The multifractal properties of the Japanese markets changed considerably around the year 2000; this may have been caused by the complete migration from the stock trading floor to the Tokyo Stock Exchange’s computer trading system and the financial system reform, also known as the “Japanese Big Bang”.

Suggested Citation

  • Tetsuya Takaishi, 2022. "Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market," JRFM, MDPI, vol. 15(1), pages 1-12, January.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:31-:d:722167
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    References listed on IDEAS

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    Cited by:

    1. Birau Ramona & Filip Robert Dorin & Lupu (Filip) Gabriela Ana Maria & Simion Mircea Laurentiu & Florescu Ion, 2023. "An Empirical Analysis Regarding The Behavior Of The Asian Stock Markets Under The Impact Of Turbulent Events: A Case Study For Japan," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 90-98, October.

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