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- W2560122366 abstract "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." @default.
- W2560122366 created "2016-12-16" @default.
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- W2560122366 date "2017-03-01" @default.
- W2560122366 modified "2023-10-01" @default.
- W2560122366 title "Analysis of the efficiency–integration nexus of Japanese stock market" @default.
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- W2560122366 doi "https://doi.org/10.1016/j.physa.2016.11.142" @default.
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