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

Mikio Ito, Akihiko Noda, Tatsuma Wada

研究成果: Article査読

23 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)2744-2754
ページ数11
ジャーナルApplied Economics
46
23
DOI
出版ステータスPublished - 2014 8

ASJC Scopus subject areas

  • 経済学、計量経済学

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