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.; Pan Yatrakis Ph.D.; Sabrina Segal D.B.A.

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. * §

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Pan Yatrakis Ph.D.

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Sabrina Segal D.B.A.

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Temple University and Nova Southeastern University

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.

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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., Pan Yatrakis Ph.D., Sabrina Segal D.B.A.. 1970. "An Empirical Study of Japanese Market Efficiency: Comparing the Risk-Adjusted Performance of an ETF Portfolio Versus the Topix Index.". 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

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-A Classification FOR Code: 150307

JEL Code G14

G11

Submission ReceivedJanuary 23, 2011
Peer Review Double Blind
Handling Editor
Accepted February 17, 2011
Published March 4, 2011

Version of record

v1.2

Language

English

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Article Matrices

Total Score: 180

Country: United States

Subject: Global Journal of Management and Business Research

Authors: Pedro Kono D.B.A., Pan Yatrakis Ph.D., and Sabrina Segal D.B.A. (PhD/Dr. count: 0)

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Total Downloads (simulated): 256

Publish Date: 2011 03, Fri

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Total Views: 4.3K

Total Downloads: 256

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