Before revision: 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 .
After revision: This paper examines the adaptive market hypothesis of Lo (2004 ) adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency gives us a more precise measurement of market efficiency than conventional moving window methods .