Advanced Search
MyIDEAS: Login to save this article or follow this journal

Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis

Contents:

Author Info

  • Hatemi-J, Abdulnasser

    ()
    (Department of Economics and Finance, University of Skövde)

Abstract

This paper defines mathematically different forms for the efficient market hypothesis and tests this hypothesis for the equity market in Japan with respect to the interest rate, industrial production, money supply, consumer price index and the real effective exchange rate during the period 1978-2002. We apply the leveraged bootstrap causality test which is robust to non-normality and ARCH effects. A new information criterion is used to choose the optimal lag order in the VAR model. The causality test results provide empirical evidence that the equity market is informationally efficient with regard to each of these macroeconomic variables. These results are supported by the generalized variance decompositions. Our findings imply that the possibility for arbitrage profits in the equity market is ruled out.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.

Volume (Year): 57 (2004)
Issue (Month): 4 ()
Pages: 461-473

as in new window
Handle: RePEc:ris:ecoint:0124

Contact details of provider:
Postal: Via Garibaldi 4, 16124 Genova, Italy
Phone: +39 010 27041
Fax: +39 010 2704222
Email:
Web page: http://www.ge.camcom.it/IT/Tool/Modulistica
More information through EDIRC

Related research

Keywords: The Efficient Market Hypothesis; Hacker-Hatemi-J Test; Optimal Lag Order; Japan.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(13), pages 1489-1500.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0124. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Procopio).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.