Journal
FINANCE RESEARCH LETTERS
Volume 17, Issue -, Pages 66-71Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2016.01.004
Keywords
The adaptive market hypothesis; The efficient market hypothesis; Time-varying model approach; Degree of market efficiency
Categories
Funding
- Japan Society for the Promotion of Science [26380397, 15K03542]
- Grants-in-Aid for Scientific Research [26380397, 15K03542] Funding Source: KAKEN
Ask authors/readers for more resources
This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level of market efficiency of the TSE2 is lower than that of the TOPIX in most periods, and (3) the market efficiency of the TOPIX has evolved, but that of the TSE2 has not. We conclude that the results support the AMH for the more qualified stock market in Japan. (C) 2016 Elsevier Inc. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available