Article ID Journal Published Year Pages File Type
5069630 Finance Research Letters 2016 6 Pages PDF
Abstract

•This study examines the adaptive market hypothesis (AMH) in Japanese stock markets.•We measure the degree of market efficiency by using a time-varying model approach.•The degree of market efficiency changes over time in the markets (TOPIX and TSE2).•The evolving process of the market efficiency varies among stock markets.•The results support the AMH for the more qualified stock market in Japan.

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-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level of 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, but that of the TSE2 has not. We conclude that the results support the AMH for the more qualified stock market in Japan.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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