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The Efficiency of the Japanese Equity Market

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Author Info
Jun Nagayasu

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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.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 03/142.

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Length: 22 pages
Date of creation: 28 Jul 2003
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Handle: RePEc:imf:imfwpa:03/142

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Keywords: Stock markets ; Japan ; Economic models ;

References listed on IDEAS
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  1. John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics. [Downloadable!]
    Other versions:
  2. Sadique, Shibley & Silvapulle, Param, 2001. "Long-Term Memory in Stock Market Returns: International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 59-67, January. [Downloadable!] (restricted)
  3. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285. [Downloadable!] (restricted)
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July. [Downloadable!] (restricted)
  5. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August. [Downloadable!] (restricted)
  6. Dekle, Robert, 1998. "The Japanese "Big Bang" financial reforms and market implications," Journal of Asian Economics, Elsevier, vol. 9(2), pages 237-249. [Downloadable!] (restricted)
  7. Resende, Marcelo & Teixeira, Nilson, 2002. "Permanent Structural Changes in the Brazilian Economy and Long Memory: A Stock Market Perspective," Applied Economics Letters, Taylor and Francis Journals, vol. 9(6), pages 373-75, May. [Downloadable!] (restricted)
  8. Hirota, Shinichi, 1999. "Are Corporate Financing Decisions Different in Japan? An Empirical Study on Capital Structure," Journal of the Japanese and International Economies, Elsevier, vol. 13(3), pages 201-229, September. [Downloadable!] (restricted)
  9. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July. [Downloadable!] (restricted)
  10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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