文章基本信息

标题：Structural Change in the Efficiency of the Japanese Stock Market after the Millennium
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作者：Terence Tai-Leung Chong ; Sheung Tat Chan
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2008
卷号：7
出版社：Economics Bulletin
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 1980¡¦s. The efficiency has been slightly improved after the millennium.