Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
Volume (Year): 57 (2004)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: Via Garibaldi 4, 16124 Genova, Italy|
Phone: +39 010 27041
Fax: +39 010 2704222
Web page: http://www.ge.camcom.it/IT/Tool/Modulistica
More information through EDIRC
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 references are entirely missing, you can add them using this form.