TY - JOUR
T1 - International stock market efficiency
T2 - a non-Bayesian time-varying model approach
AU - Ito, Mikio
AU - Noda, Akihiko
AU - Wada, Tatsuma
N1 - Funding Information:
This work was supported by the Japan Society for the Promotion of Science Grant in Aid for Scientific Research [grant number 24530364] and the Zengin Foundation for Studies on Economics and Finance [grant number 1321].
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
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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 -