A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan

Akihiko Noda

Papers from arXiv.org

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.

Date: 2012-07, Revised 2016-01
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Citations: View citations in EconPapers (39)

Published in Finance Research Letters 17 (2016) 66-71

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Journal Article: 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:arx:papers:1207.1842

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