International stock market efficiency

a non-Bayesian time-varying model approach

Mikio Itou, Akihiko Noda, Tatsuma Wada

Research output: Contribution to journalArticle

12 Citations (Scopus)

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 languageEnglish
Pages (from-to)2744-2754
Number of pages11
JournalApplied Economics
Volume46
Issue number23
DOIs
Publication statusPublished - 2014

Fingerprint

Stock market efficiency
International stock markets
Market efficiency
Time-varying
International markets
International linkages
G-7 countries
Vector autoregressive model
Efficiency change
Empirical results
International financial system
Methodology

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 journalArticle

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