89 citations · 303 across the 16 of their papers we have counts for
16 papers
Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
Keiichi Morimoto, Akihiko Noda, Takenobu Yuki
This paper examines how wartime economic controls shaped stock-price formation in Japan from 1930 to 1943. We develop a four-portfolio asset-pricing model in which zaibatsu affilia…
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
Koichiro Moriya, Akihiko Noda
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock ri…
Time Instability of the Fama-French Multifactor Models: An International Evidence
Koichiro Moriya, Akihiko Noda
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling wi…
Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic
Akihiko Noda
This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the join…
Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
Kenichi Hirayama, Akihiko Noda
This paper explores when the financial market lost the price formation function in prewar Japan in the sense of Fama's (1970) semi-strong form market efficiency using a new dataset…
Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
Kenichi Hirayama, Akihiko Noda
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, th…
On the Evolution of Cryptocurrency Market Efficiency
Akihiko Noda
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, w…
An Alternative Estimation Method of a Time-Varying Parameter Model
Mikio Ito, Akihiko Noda, Tatsuma Wada
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has p…
Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
We investigate the relationship between market efficiency of rice futures transaction in Osaka and the Japanese government intervention in rice distributions by directly buying and…
Time-Varying Comovement of Foreign Exchange Markets
Mikio Ito, Akihiko Noda, Tatsuma Wada
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be va…
Market Integration in the Prewar Japanese Rice Markets
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This paper examines the integration process of the Japanese major rice markets (Tokyo and Osaka) from 1881 to 1932. Using a non-Bayesian time-varying vector error correction model,…
The Futures Premium and Rice Market Efficiency in Prewar Japan
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesia…
Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This study analyzes how colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Os…
A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
Akihiko Noda
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-varyi…
International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, Tatsuma Wada
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian tim…
The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, Tatsuma Wada
A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the id…