Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Statistics Department.
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| ISBN: | 1451901461
9781451901467
1462327699
9781462327690
1452737096
9781452737096
1282108212
9781282108219
9786613801562
6613801569
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| Notes: | Includes bibliographical references (pages 15-16).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | 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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| Other form: | Print version: Nagayasu, Jun. Efficiency of the Japanese equity market. Washington, D.C : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451901467.001
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