International stock market efficiency: a non-Bayesian time-varying model approach

This article develops a non-Bayesian methodology to analyse 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...

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Bibliographic Details
Published in:Applied economics 2014-08, Vol.46 (23), p.2744-2754
Main Authors: Ito, Mikio, Noda, Akihiko, Wada, Tatsuma
Format: Article
Language:English
Subjects:
Bayesian analysis
Bayesian method
degree of market efficiency
Efficiency
efficient market hypothesis
Financial systems
International finance
international linkages
Market efficiency
non-Bayesian time-varying VAR model
Regression analysis
Securities markets
Stock exchange
Studies
Time series
Vector-autoregressive models
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Summary:This article develops a non-Bayesian methodology to analyse 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 behaviours correspond well to historical events of the international financial system.
ISSN:0003-6846
1466-4283
DOI:10.1080/00036846.2014.909579