International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1203.5176.
Date of creation: Mar 2012
Date of revision: May 2014
Publication status: Published in Applied Economics 46 (2014) 2744-2754
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Web page: http://arxiv.org/
Other versions of this item:
- Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
- NEP-ALL-2012-04-03 (All new papers)
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- Jeon, Bang Nam & Chiang, Thomas C., 1991. "A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990," Journal of Economics and Business, Elsevier, vol. 43(4), pages 329-338, November.
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