A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan

This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two mark...

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Bibliographic Details
Published in:arXiv.org 2016-01
Main Author: Noda, Akihiko
Format: Article
Language:English
Subjects:
Economic models
Efficiency
Markets
Stock exchanges
Online Access:Get full text
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Summary:This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level of market efficiency of the TSE2 is lower than that of the TOPIX in most periods, and (3) the market efficiency of the TOPIX has evolved, but that of the TSE2 has not. We conclude that the results support the AMH for the more qualified stock market in Japan.
ISSN:2331-8422
DOI:10.48550/arxiv.1207.1842