The Efficiency of the Japanese Equity Market

The Efficiency of the Japanese Equity Market
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,... READ MORE...

Publication date: July 2003
ISBN 9781451856279
$15.00

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