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...
| Tác giả chính: | |
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| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2003.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2003/142 |
| Những chủ đề: | |
| Truy cập trực tuyến: | Full text available on IMF |