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

Authors

  • Pedro Kono D.B.A.

  • Pan Yatrakis Ph.D.

  • Sabrina Segal D.B.A.

Keywords:

efficiency, analyses, overall market, Sharpe ratio

Abstract

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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How to Cite

Pedro Kono D.B.A., Pan Yatrakis Ph.D., & Sabrina Segal D.B.A. (2011). 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, 11(5), 49–53. Retrieved from https://journalofbusiness.org/index.php/GJMBR/article/view/495

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

Published

2011-03-15

Issue

Vol. 11 No. 5 (2011): GJMBR- Interdisciplinary: Volume 11 Issue 5

Section

Articles

License

Copyright (c) 2011 Authors and Global Journals Private Limited

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.