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Structural Change in the Efficiency of the Japanese Stock Market after the Millennium

Author

Listed:
  • Terence Tai-Leung Chong

    (Deparment of Economics, The Chinese University of Hong Kong)

  • Sheung Tat Chan

    (Deparment of Economics, The Chinese University of Hong Kong)

Abstract

The Japanese stock market has important linkages with stock markets worldwide. This note examines whether the Japanese stock market is efficient in the past two decades. The profitability of various time-series model based trading rules is evaluated. It is found that most of these trading rules are not profitable, suggesting that the Japanese stock market is efficient since the mid 1980¡¦s. The efficiency has been slightly improved after the millennium.

Suggested Citation

  • Terence Tai-Leung Chong & Sheung Tat Chan, 2008. "Structural Change in the Efficiency of the Japanese Stock Market after the Millennium," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-7.
  • Handle: RePEc:ebl:ecbull:eb-08g10008
    as

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    References listed on IDEAS

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    Cited by:

    1. Terence Tai-Leung Chong & Chen Li & Ho Tin Yu, 2008. "Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-6.
    2. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
    3. repec:ebl:ecbull:v:7:y:2008:i:12:p:1-6 is not listed on IDEAS

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