01628cas a2200313 a 4500 AALejournalIMF008419 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451856279 1018-5941 BD-DhAAL BD-DhAAL Nagayasu, Jun. The Efficiency of the Japanese Equity Market / Jun Nagayasu. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (23 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Afrima imf Arfima-Figarch imf Equity Market imf Nikkei 225 imf WP imf Japan imf IMF Working Papers; Working Paper ; No. 2003/142 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/142/001.2003.issue-142-en.xml IMF e-Library