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.
This study examines Lo's (2004 ) adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using the non-Bayesian time-varying model approach of Ito et al. (2014, 2015), which provides a more accurate measurement of market efficiency than conventional statistical inferences (i.e., statistical tests using the moving window method) . The empirical results show that (1) market efficiency changes over time in the TOPIX and TSE2, (2) the 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 since the bursting of the bubble economy in the early 1990s, but that of the TSE2 has not. Therefore, we conclude that the empirical results support Lo's (2004 ) AMH for data on the more qualified stock market in Japan.
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paper examines the adaptive market hypothesis of Lo
study examines Lo's
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, 2005) using the Ito and Noda's (2012) non-Bayesian time-varying AR model in Japan. As shown in Ito and Noda (2012), their
) adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the
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gives us a more precise
by using the non-Bayesian time-varying model approach of Ito et al. (2014, 2015), which provides a more accurate
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moving window methods
statistical inferences (i.e., statistical tests using the moving window method)
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supports the AMH of Lo
show that (1) market efficiency changes over time in the TOPIX and TSE2, (2) the 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 since the bursting of the bubble economy in the early 1990s, but that of the TSE2 has not. Therefore, we conclude that the empirical results support Lo's
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, 2005) for data of the more quali?ed
) AMH for data on the more qualified