Structural change in the efficiency of the Japanese stock market after the millennium
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

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摘要The Japanese stock market has important linkages with stock markets worldwide. This note examines whether the Japanese stock market is efficient in the past two decades. The profitability of various time-series model based trading rules is evaluated. It is found that most of these trading rules are not profitable, suggesting that the Japanese stock market is efficient since the mid http://aims.cuhk.edu.hk/converis/portal/Publication/1980. The efficiency has been slightly improved after the millennium.

着者Chong T.T.-L., Chan S.T.
期刊名称Economics Bulletin
出版年份2008
月份4
日期2http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号7
期次7
出版社Economics Bulletin
出版地United States
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1545-292http://aims.cuhk.edu.hk/converis/portal/Publication/1
语言英式英语