Related papers: A Test of the Adaptive Market Hypothesis using a T…

This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive…

This paper explores a time-varying version of weak-form market efficiency that is a key component of the so-called Adaptive Market Hypothesis (AMH). One of the most common methodologies used for modeling and estimating a degree of market…

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…

This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over…

This paper explores when the financial market lost the price formation function in prewar Japan in the sense of Fama's (1970) semi-strong form market efficiency using a new dataset. We particularly focus on the relationship between the…

We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency…

We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change is price improvement and shorter time to execution. We look…

Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and…

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…

We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during…

The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…

Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…

Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market…

In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…

Mimicking and learning the long-term memory of efficient markets is a fundamental problem in the interaction between machine learning and financial economics to sequential data. Despite the prominence of this issue, current treatments…

This study investigates the impacts of asymmetry on the modeling and forecasting of realized volatility in the Japanese futures and spot stock markets. We employ heterogeneous autoregressive (HAR) models allowing for three types of…

By fully accounting for the distinct tariff regimes levied on imported meat, we estimate substitution elasticities of Japan's two-stage import aggregation functions for beef, chicken and pork. While the regression analysis crucially depends…

In its semi-strong form, the Efficient Market Hypothesis (EMH) implies that technical analysis will not reveal any hidden statistical trends via intermarket data analysis. If technical analysis on intermarket data reveals trends which can…