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 Aug |
Keywords
- degree of market efficiency
- efficient market hypothesis
- international linkages
- non-Bayesian time-varying VAR model
ASJC Scopus subject areas
- Economics and Econometrics
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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