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Analysis of the efficiency–integration nexus of Japanese stock market

Listed author(s):
  • Rizvi, Syed Aun R.
  • Arshad, Shaista
Registered author(s):

    This paper attempts a novel approach in analysing the Japanese economy through a dual-dimension analysis of its stock market, examining the efficiency and market integration. Taking a period of 24 years, this study employs MFDFA and MGARCH to understand how the efficiency and integration of the stock market faired during different business cycle phases of the Japanese economy. The results showed improving efficiency over the time period. For the case of market integration, our findings conform to recent literature on business cycles and stock market integration that every succeeding recession creates a break into integration levels resulting in a decrease.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437116309657
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 470 (2017)
    Issue (Month): C ()
    Pages: 296-308

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    Handle: RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308
    DOI: 10.1016/j.physa.2016.11.142
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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