89 citations · 303 across the 16 of their papers we have counts for
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q-fin.ST2012★ 89 cited
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…
q-fin.ST2012★ 66 cited
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…
q-fin.ST2012★ 71 cited
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…