An Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index.

α
Pedro Kono D.B.A.
Pedro Kono D.B.A.
σ
Pan Yatrakis Ph.D.
Pan Yatrakis Ph.D.
ρ
and Sabrina Segal D.B.A.
and Sabrina Segal D.B.A.
α Temple University Temple University

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An Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index.

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Abstract

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.

References

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Pedro Kono D.B.A.. 1970. \u201cAn Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index.\u201d. Global Journal of Management and Business Research - A: Administration & Management GJMBR-A Volume 11 (GJMBR Volume 11 Issue A5): .

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GJMBR Volume 11 Issue A5
Pg. 49- 53
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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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.

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An Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index.

Pedro Kono D.B.A.
Pedro Kono D.B.A. Temple University
Pan Yatrakis Ph.D.
Pan Yatrakis Ph.D.
and Sabrina Segal D.B.A.
and Sabrina Segal D.B.A.

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