The Efficiency of the Japanese Equity Market

Released on by Mr.Jun Nagayasu
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  • The Efficiency of the Japanese Equity Market Book Detail

  • Author : Mr.Jun Nagayasu
  • Release Date : 2003-07-01
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 24
  • ISBN 13 : 145185627X
  • File Size : 31,31 MB
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The Efficiency of the Japanese Equity Market by Mr.Jun Nagayasu PDF Summary

Book Description: 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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The Future BRICS provides in depth quantitative and qualitative questions and answers about the future of the BRICS Forum as a synergistic economic alliance and