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 r...
| Autor principal: | |
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| Formato: | Periódico |
| Idioma: | English |
| Publicado em: |
Washington, D.C. :
International Monetary Fund,
2003.
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| coleção: | IMF Working Papers; Working Paper ;
No. 2003/142 |
| Assuntos: | |
| Acesso em linha: | Full text available on IMF |