This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda's (2012)  time-varying autoregressive 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 shows that the AMH of Lo (2004, 2005) is supported in the Japanese grown-up stock market .
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 .
A
non-Bayesian
R
autoregressive
AR
R
shows that
supports
R
is supported in the Japanese grown-up stock market
for data of the more quali?ed stock market in Japan