International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Akihiko Noda () and
Tatsuma Wada ()
Papers from arXiv.org
This paper develops a non-Bayesian methodology to analyze 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 behaviors correspond well to historical events of the international financial system.
Date: 2012-03, Revised 2014-05
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Published in Applied Economics 46 (2014) 2744-2754
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Journal Article: International stock market efficiency: a non-Bayesian time-varying model approach (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1203.5176
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