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Cover Art
E-RESOURCE
Author Nagayasu, Jun.

Title The Efficiency of the Japanese Equity Market [electronic resource] / Jun Nagayasu.

Published Washington, D.C. : International Monetary Fund, 2003.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (23 p.)
Series IMF Working Papers; Working Paper ; No. 03/142
IMF Working Papers; Working Paper ; No. 03/142
Summary 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.
Notes Description based on print version record.
Other author Nagayasu, Jun.
Subject Afrima
Arfima-Figarch
Arfina-Figarch
Equity Market
General Financial Markets
Martingale
ISBN 145185627X : 15.00 USD
9781451856279
ISSN 1018-5941
Standard Number 10.5089/9781451856279.001