The Efficiency of the Japanese Equity Market PDF Download
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Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 145185627X
Category : Business & Economics
Languages : en
Pages : 24
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Book Description
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.
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 145185627X
Category : Business & Economics
Languages : en
Pages : 24
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Book Description
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.
Author: Shoichi Mizusawa
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 88
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
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Book Description
Author: Junichi Arihara
Publisher:
ISBN:
Category :
Languages : en
Pages : 214
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Book Description
Author: Robert Zielinski
Publisher: McGraw-Hill Companies
ISBN:
Category : Financial institutions
Languages : en
Pages : 228
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Book Description
Despite its prominence in world finance, Japan's stock market has remained an enigma to many investors. This book aims to remove the mystery, revealing how Japanese corporations have moulded the market into a cheap source of capital; why most shares of corporations are held by other corporations; what the Keiretsu - secretive stockbroking, insurance and banking cartels - really do; and how the market's 1990 collapse affected these interlocking relationships.
Author: Yakov Amihud
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Yakov Amihud
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 33
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Book Description
Author: Martin Roth
Publisher: Tuttle Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 190
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Book Description
Author: Shigeki Sakakibara
Publisher: Praeger
ISBN:
Category : Business & Economics
Languages : en
Pages : 186
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Book Description
This timely volume brings together professors of finance and accounting from Japanese universities to examine the Japanese stock market in terms of its pricing and accounting systems. The papers report the results of empirical research into the Japanese stock market within the framework of new theories of finance. Academics, professionals, and anyone seeking to understand or enter the Japanese market will applaud the publication of this practical, informative volume. Having gathered data from the late 1970's through 1984, the authors analyze the market's behavior and the applicability of two major theoretical pricing models -- the Capital Asset Pricing Models and the Efficient Market Hypothesis -- to that market. Chapter 1 provides background statistical evidence on the behavior of monthly returns on Tokyo Stock Exchange common stocks. Chapter 2 discusses an empirical test of the capital asset pricing model. Chapter 3 examines evidence on the price performance of unseasoned new issues. The authors also examine the Japanese accounting disclosure system: Chapter 4 deals empirically with the information content of the annual accounting announcements and related market efficiency. The next chapter presents empirical evidence on the relationship between unsystematic returns and earnings forecast errors. Next, empirical research into the usefulness to investors of the disclosure system is examined. Finally, Chapter 7 presents several interesting questions and topics for future research on the Japanese stock market.
Author: Masao Nakamura
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
