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 r...

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Bibliografiske detaljer
Hovedforfatter:	Nagayasu, Jun
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2003.
Serier:	IMF Working Papers; Working Paper ; No. 2003/142
Fag:	Afrima Arfima-Figarch Equity Market Nikkei 225 WP Japan
Online adgang:	Full text available on IMF

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