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

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  • Mikio Ito
  • Akihiko Noda
  • Tatsuma Wada

Abstract

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.

Suggested Citation

  • Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
    • Handle: RePEc:taf:applec:v:46:y:2014:i:23:p:2744-2754
    DOI: 10.1080/00036846.2014.909579
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