Abstract
This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.
| Original language | English |
|---|---|
| Pages (from-to) | 2744-2754 |
| Number of pages | 11 |
| Journal | Applied Economics |
| Volume | 46 |
| Issue number | 23 |
| DOIs | |
| Publication status | Published - 2014 |
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Keywords
- degree of market efficiency
- efficient market hypothesis
- international linkages
- non-Bayesian time-varying VAR model
ASJC Scopus subject areas
- Economics and Econometrics
Cite this
International stock market efficiency : a non-Bayesian time-varying model approach. / Itou, Mikio; Noda, Akihiko; Wada, Tatsuma.
In: Applied Economics, Vol. 46, No. 23, 2014, p. 2744-2754.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - International stock market efficiency
T2 - a non-Bayesian time-varying model approach
AU - Itou, Mikio
AU - Noda, Akihiko
AU - Wada, Tatsuma
PY - 2014
Y1 - 2014
N2 - This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.
AB - This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.
KW - degree of market efficiency
KW - efficient market hypothesis
KW - international linkages
KW - non-Bayesian time-varying VAR model
UR - http://www.scopus.com/inward/record.url?scp=84900482073&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84900482073&partnerID=8YFLogxK
U2 - 10.1080/00036846.2014.909579
DO - 10.1080/00036846.2014.909579
M3 - Article
VL - 46
SP - 2744
EP - 2754
JO - Applied Economics
JF - Applied Economics
SN - 0003-6846
IS - 23
ER -