global-journal-of-management-and-business-research-a-administration-management Global Journal of Management and Business Research - A: Administration & Management 0975-5853 2249-4588 Global Journals Publishing Group Incorporated 72936 An Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index. D.B.A.Pedro Kono Ph.D.Pan Yatrakis D.B.A.Sabrina Segal UNITED STATES, Temple University and Nova Southeastern University 04 03 2011 11 5 49 53

Abstracts -This study tests the market efficiency of the Japanese equity market. The analyses compare the performance of a portfolio consisting of exchange-traded funds (ETFs) with that of the overall market, exemplified by the Topix Index, during the period of June 30, 2008 to June 30, 2009. The ETF portfolio is constructed according to the Modern Portfolio Theory (MPT) developed by Harry Markowitz in 1952. The study concludes that an optimal ETF portfolio can outperform an overall market index when performance is measured using the Sharpe ratio, i.e., the return per unit of risk.

 efficiency analyses overall market Sharpe ratio Full Text

This study tests the market efficiency of the Japanese equity market. The analyses compare the performance of a portfolio consisting of exchange-traded funds (ETFs) with that of the overall market, exemplified by the Topix Index, during the period of June 30, 2008 to June 30, 2009. The ETF portfolio is constructed according to the Modern Portfolio Theory (MPT) developed by Harry Markowitz in 1952. The study concludes that an optimal ETF portfolio can outperform an overall market index when performance is measured using the Sharpe ratio, i.e., the return per unit of risk.