A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Year: 2012
Type: preprint
Abstract: This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda's (2012) non-Bayesian time-varying AR model in Japan. As shown in Ito and Noda (2012), their degree of market efficiency gives us a more precise measurement of market efficiency than conventional moving window methods. The empirical results supports the AMH of Lo (2004, 2005) for data of the more quali?ed stock market in Japan.
Source: arXiv (Cornell University)
Author: Akihiko Noda
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W30820609