The only reason that java is slower than 'real' languages is because it has to be interpreted first. If that is a relatively small part of the procedure compared to the actual work done there is no reason why it shouldn't work almost as fast.
Your claim that it is faster than windows doing the same file move is almost certainly wrong. When windows moves a file, it has actually finished moving it when it says it has finished. In contrast the java program hands that task over to windows. Windows will have cached some of the move and allowed the java program to continue. Windows will still be moving the file while your program is waiting for you to "Press any key to continue...".
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