A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan

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.

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Year of publication:	2012-07
Authors:	Noda, Akihiko
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010599985