Time Evolution of Market Efficiency and Multifractality of the Japanese Stock Market

Journal of Risk and Financial Management

Tetsuya Takaishi¹ 

[1] Hiroshima University of Economics, Hiroshima 731-0192, Japan;

关键词: market efficiency;    multifractality;    generalized Hurst exponent;    efficient market hypothesis;    adaptive market hypothesis;    Japanese Big Bang;   

DOI  :  10.3390/jrfm15010031

来源: DOAJ

【 摘 要 】

This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their early stages and improve gradually. TOPIX and TOPIX-Small showed an anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not show that the Japanese markets are permanently efficient. The multifractal properties of the Japanese markets changed considerably around the year 2000; this may have been caused by the complete migration from the stock trading floor to the Tokyo Stock Exchange’s computer trading system and the financial system reform, also known as the “Japanese Big Bang”.

【 授权许可】

Unknown