Dynamic Stock Market Linkages and Market Efficiency: A Non-Bayesian Time-Varying Model Approach
AbstractIn this paper, we develop a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in stock markets. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to obtain the time-varying generalized impulse responses (TV-GIRs) between the U.S. and Japanese stock markets. Our empirical results based on the TV-GIRs provide a new perspective that the stock market linkages and market efficiency in the semi-strong sense change over time. We conclude 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: Nov 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
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