A test of the adaptive market hypothesis using a time-varying AR model in Japan

Akihiko Noda

Finance Research Letters, 2016, vol. 17, issue C, 66-71

Abstract: This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level of market efficiency of the TSE2 is lower than that of the TOPIX in most periods, and (3) the market efficiency of the TOPIX has evolved, but that of the TSE2 has not. We conclude that the results support the AMH for the more qualified stock market in Japan.

Keywords: The adaptive market hypothesis; The efficient market hypothesis; Time-varying model approach; Degree of market efficiency (search for similar items in EconPapers)
JEL-codes: C22 C32 G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Working Paper: A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:66-71

DOI: 10.1016/j.frl.2016.01.004

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