International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Statistical Finance
2015-08-24 v9
Abstract
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.
Keywords
Cite
@article{arxiv.1203.5176,
title = {International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach},
author = {Mikio Ito and Akihiko Noda and Tatsuma Wada},
journal= {arXiv preprint arXiv:1203.5176},
year = {2015}
}
Comments
21 pages, 2 tables, 6 figures