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Applied Economics Volume 46, 2014 - Issue 23
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Original Articles

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

Mikio ItoFaculty of Economics, Keio University, Minato-ku, Tokyo108-8345, Japan
,
Akihiko NodaFaculty of Economics, Wakayama University, Wakayama640-8510, JapanCorrespondence[email protected]
&
Tatsuma WadaDepartment of Economics, Wayne State University, Detroit, MI48202, USA
Pages 2744-2754 | Published online: 22 Apr 2014

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Ceyda Aktan, Tolga Omay & Eyyüp Ensari Şahin. (2022) Examining the non-linear stochastic behavior of the European energy market: evidence from nonlinear unit root tests. Energy Sources, Part B: Economics, Planning, and Policy 17:1.
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Akihiko Noda. (2021) On the evolution of cryptocurrency market efficiency. Applied Economics Letters 28:6, pages 433-439.
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Kalugala Vidanalage Aruna Shantha, Chen Xiaofang & L.P.S. Gamini. (2018) A conceptual framework on individual investors’ learning behavior in the context of stock trading: An integrated perspective. Cogent Economics & Finance 6:1.
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João Paulo Vieito, Wing-Keung Wong & Zhen-Zhen Zhu. (2016) Could the global financial crisis improve the performance of the G7 stocks markets?. Applied Economics 48:12, pages 1066-1080.
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Mohamed Malek Belhoula, Walid Mensi & Kamel Naoui. (2024) Dynamic efficiency in MENA stock markets during COVID-19 outbreak and vaccines. International Journal of Emerging Markets.
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Khaled Mokni, Ghassen El Montasser, Ahdi Noomen Ajmi & Elie Bouri. (2024) On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum. Financial Innovation 10:1.
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Yuxin Pang, Dehui Wang & Mark Goh. (2023) A Two-Step Estimation Method for a Time-Varying INAR Model. Axioms 13:1, pages 19.
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Mohamed Malek Belhoula, Walid Mensi & Kamel Naoui. (2023) Impacts of investor's sentiment, uncertainty indexes, and macroeconomic factors on the dynamic efficiency of G7 stock markets. Quality & Quantity.
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Faheem Aslam, Bilal Ahmed Memon, Ahmed Imran Hunjra & Elie Bouri. (2023) The dynamics of market efficiency of major cryptocurrencies. Global Finance Journal 58, pages 100899.
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Ayoub Ammy-Driss & Matthieu Garcin. (2023) Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. Physica A: Statistical Mechanics and its Applications 609, pages 128335.
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Onur Özdemir. (2022) Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. Financial Innovation 8:1.
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M.V. Kulikova & G.Yu. Kulikov. (2022) Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. Digital Signal Processing 128, pages 103619.
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Mikio Ito, Akihiko Noda & Tatsuma Wada. (2022) An Alternative Estimation Method for Time-Varying Parameter Models. Econometrics 10:2, pages 23.
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Ugochi Chibuzor Okoroafor & Thomas Leirvik. (2022) Time varying market efficiency in the Brent and WTI crude market. Finance Research Letters 45, pages 102191.
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Raffaele Mattera, Fabrizio Di Sciorio & Juan E. Trinidad-Segovia. (2022) A Composite Index for Measuring Stock Market Inefficiency. Complexity 2022, pages 1-13.
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Ling Xin, Kin Lam & Philip L.H. Yu. (2019) Effectiveness of filter trading as an intraday trading rule. Studies in Economics and Finance 38:3, pages 659-674.
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Hasan Arda BURHAN & Eylem ACAR. (2021) Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa IstanbulAdaptif Piyasa Hipotezi ve Getiri Öngörülebilirliği: Borsa İstanbul İçin Bir Gizli Markov Modeli Uygulaması. Sosyoekonomi 29:48, pages 31-58.
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Mikio Ito, Akihiko Noda & Tatsuma Wada. (2021) Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach. Mathematics 9:8, pages 849.
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Negar Fazlollahi, Nesrin Ozatac & Korhan K. Gokmenoglu. (2020) Evolving time-varying market efficiency of energy stock market. Environmental Science and Pollution Research 27:36, pages 45539-45554.
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Emmanuel Joel Aikins Abakah, Luis Alberiko Gil-Alana, Godfrey Madigu & Fatima Romero-Rojo. (2020) Volatility persistence in cryptocurrency markets under structural breaks. International Review of Economics & Finance 69, pages 680-691.
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Mostafa Lekhal & Ahmed El Oubani. (2020) Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon 6:7, pages e04429.
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Vu Le Tran & Thomas Leirvik. (2020) Efficiency in the markets of crypto-currencies. Finance Research Letters 35, pages 101382.
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Abhinava Tripathi, Vipul Vipul & Alok Dixit. (2020) Adaptive market hypothesis and investor sentiments: global evidence. Managerial Finance 46:11, pages 1407-1436.
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Mariam Camarero, Juan Sapena & Cecilio Tamarit. (2019) Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle. Computational Economics 56:1, pages 87-114.
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Jinjin Jiang & Haiqi Li. (2020) A new measure for market efficiency and its application. Finance Research Letters 34, pages 101235.
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Vu Le Tran & Thomas Leirvik. (2019) A simple but powerful measure of market efficiency. Finance Research Letters 29, pages 141-151.
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Dzung Phan Tran Trung & Hung Pham Quang. (2019) Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. Journal of Risk and Financial Management 12:2, pages 81.
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Lanouar Charfeddine, Karim Ben Khediri, Goodness C. Aye & Rangan Gupta. (2018) Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. Physica A: Statistical Mechanics and its Applications 505, pages 632-647.
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Mikio Ito, Kiyotaka Maeda & Akihiko Noda. (2017) The futures premium and rice market efficiency in prewar Japan. The Economic History Review 71:3, pages 909-937.
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Onur Enginar, Mehmet Baha Karan & Göknur Büyükkara. 2018. Global Approaches in Financial Economics, Banking, and Finance. Global Approaches in Financial Economics, Banking, and Finance 415 443 .
Md. Lutfur Rahman, Doowon Lee & Abul Shamsuddin. (2017) Time-varying return predictability in South Asian equity markets. International Review of Economics & Finance 48, pages 179-200.
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Mikio Ito, Kiyotaka Maeda & Akihiko Noda. (2017) Market efficiency and government interventions in prewar Japanese rice futures markets. Financial History Review 23:3, pages 325-346.
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Akihiko Noda. (2016) A test of the adaptive market hypothesis using a time-varying AR model in Japan. Finance Research Letters 17, pages 66-71.
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Rahul Roy & Shijin Santhakumar. (2014) Time-varying global financial market inefficiency: an instance of pre-, during, and post-subprime crisis. DECISION 41:4, pages 449-488.
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Vu Le Tran & Thomas Leirvik. (2018) A Simple but Powerful Measure of Market Efficiency. SSRN Electronic Journal.
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