Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258755 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 1 [Article No.:] 31 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
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'.
Subjects: 
market efficiency
multifractality
generalized Hurst exponent
efficient market hypothesis
adaptive market hypothesis
Japanese Big Bang
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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