Dynamic Stock Market Linkages and Market Efficiency

Details Dynamic Stock Market Linkages and Market Efficiency Dynamic Stock Market Linkages and Market Efficiency

2012-03-23

arxiv.org/abs/1203.5176v2

Economy

Quantitative Finance

Statistical Finance

29 pages, 4 tables,8 figures

Scientific paper

In this paper, we develop new methodologies to analyze time-varying structure of international linkages and evolving market efficiency in stock markets. We consider the time-varying VAR (TV-VAR) model, and apply it to obtain time-varying impulse responses over time between the U.S. and Japanese stock markets. Our empirical results provide a new perspective that is the stock market linkages and market efficiency in the semi-strong sense evolve over time. We conclude that their behaviors correspond well to historical events of the international financial system.

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