Physica A: Statistical Mechanics and its Applications.
2017
External Author:
Shaista Arshad
Abstract:
This paper attempts a novel approach in analysing the Japanese economy through a dual-dimension analysis of its stock market, examining the efficiency and market integration. Taking a period of 24 years, this study employs MFDFA and MGARCH to understand how the efficiency and integration of the stock market faired during different business cycle phases of the Japanese economy. The results showed improving efficiency over the time period. For the case of market integration, our findings conform to recent literature on business cycles and stock market integration that every succeeding recession creates a break into integration levels resulting in a decrease.
Keywords:
- Tokyo Stock exchange
- Stock market efficiency
- Multifractal
- Market integration