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 semi-strong sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency in the semi-strong sense 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: Sep 2013
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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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