International stock market efficiency: a non-Bayesian time-varying model approach
International stock market efficiency: a non-Bayesian time-varying model approach
复制标题
DOI：
10.1080/00036846.2014.909579
复制
发表时间：
2012-03
影响因子：
2.2
通讯作者：
Mikio Ito;Akihiko Noda;Tatsuma Wada
中科院分区：
文献类型：
--
作者：
Mikio Ito;Akihiko Noda;Tatsuma Wada
本文发展了一种非贝叶斯方法来分析G7国家的国际联系和市场效率的时变结构。本文考虑了一个非贝叶斯时变向量自回归（TV-VAR）模型，并应用它来估计法马（1970，1991）意义下的市场有效性联合程度。我们的实证结果提供了一个新的视角，即国际联系和市场效率随着时间的推移而变化，它们的行为与国际金融体系的历史事件相对应。
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.