Friday, 14 Jun, 2024

+91-9899775880

011-47044510

011-49075396

The Changing Market Efficiency of Tokyo Stock Exchange (Nikkei)

International Journal of Financial Management

Volume 13 Issue 1

Published: 2023
Author(s) Name: Manish Kumar, Subrata Roy | Author(s) Affiliation: Department of Commerce, Mahatma Gandhi Central University, Motihari, Bihar, India.
Locked Subscribed Available for All

Abstract

A stock market is known as a secondary market which plays the role of buying and selling stocks and securities. The efficiency of the market depends upon how quickly the market assimilates new information. The market consists mainly of three types of market- weak form, semi-strong form, and strong form. The weak form of market efficiency indicates that all the previous market prices and information are fully displayed in stock prices in the semi-strong form of the market. The stock prices reflect all the publicly available information. In the case of strong form, the market is said to be efficient when the stock prices display all the information, where insider information is of no use. Any new information that helps to alter the prospect of the organisation’s potential profitability must instantly be displayed in the stock prices without delay. The Tokyo Stock Exchange (NIKKEI) began on 9th July 1950. The Tokyo Stock Exchange (NIKKEI) measures the performance of 225 large, publicly owned companies in Japan from a wide array of industry sectors. It is a price-weighted index operating in Japanese Yen (JP¥). The purpose of this paper is to test the market efficiency of the Tokyo Stock Exchange (NIKKEI) by using the daily time series data from the period 1st April 2010 to 31st March 2020. The study applied various statistical tools and techniques, including run tests, unit root tests, and VR tests. The study examines the market efficiency of the Tokyo Stock Exchange (NIKKEI) by considering the daily closing index prices and also observed that the null hypothesis of the daily returns of the indices is rejected and accepted.

Keywords: Market Efficiency, NIKKEI, Run Test, Unit Root Test and VR Test

View PDF

Refund policy | Privacy policy | Copyright Information | Contact Us | Feedback © Publishingindia.com, All rights reserved