A test of the adaptive market hypothesis using a time-varying AR model in Japan
详细信息 查看全文
- 作者：Akihiko Noda ; a ; b ; noda@cc.kyoto-su.ac.jp" class="auth_mail" title="E-mail the corresponding author
- 关键词：The adaptive market hypothesis ; The efficient market hypothesis ; Time-varying model approach ; Degree of market efficiency
- 刊名：Finance Research Letters
- 出版年：2016
- 出版时间：May 2016
- 年：2016
- 卷：17
- 期：Complete
- 页码：66-71
- 全文大小：438 K
文摘
- •
This study examines the adaptive market hypothesis (AMH) in Japanese stock markets.
- •
We measure the degree of market efficiency by using a time-varying model approach.
- •
The degree of market efficiency changes over time in the markets (TOPIX and TSE2).
- •
The evolving process of the market efficiency varies among stock markets.
- •
The results support the AMH for the more qualified stock market in Japan.