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

Mikio Ito, Akihiko Noda and Tatsuma Wada

Applied Economics, 2014, vol. 46, issue 23, 2744-2754

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.

Date: 2014
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Working Paper: International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach (2014)
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DOI: 10.1080/00036846.2014.909579

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