International stock market efficiency: a non-Bayesian time-varying model approach

Mikio Ito; Akihiko Noda; Tatsuma Wada

doi:10.1080/00036846.2014.909579

International stock market efficiency: a non-Bayesian time-varying model approach

Mikio Ito, Akihiko Noda, Tatsuma Wada

Faculty of Economics

Research output: Contribution to journal › Article

17 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 language	English
Pages (from-to)	2744-2754
Number of pages	11
Journal	Applied Economics
Volume	46
Issue number	23
DOIs	https://doi.org/10.1080/00036846.2014.909579
Publication status	Published - 2014 Aug

Fingerprint

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

Ito, M., Noda, A., & Wada, T. (2014). International stock market efficiency: a non-Bayesian time-varying model approach. Applied Economics, 46(23), 2744-2754. https://doi.org/10.1080/00036846.2014.909579

@article{dd04624d895743bcb2aba125fa56f912,

title = "International stock market efficiency: a non-Bayesian time-varying model approach",

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.",

keywords = "degree of market efficiency, efficient market hypothesis, international linkages, non-Bayesian time-varying VAR model",

author = "Mikio Ito and Akihiko Noda and Tatsuma Wada",

year = "2014",

month = aug,

doi = "10.1080/00036846.2014.909579",

language = "English",

volume = "46",

pages = "2744--2754",

journal = "Applied Economics",

issn = "0003-6846",

publisher = "Routledge",

number = "23",

}

TY - JOUR

T1 - International stock market efficiency

T2 - a non-Bayesian time-varying model approach

AU - Ito, Mikio

AU - Noda, Akihiko

AU - Wada, Tatsuma

PY - 2014/8

Y1 - 2014/8

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

AN - SCOPUS:84900482073

VL - 46

SP - 2744

EP - 2754

JO - Applied Economics

JF - Applied Economics

SN - 0003-6846

IS - 23

ER -

Access to Document

10.1080/00036846.2014.909579