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• W1570668608 abstract "Focusing attention on market efficiency varying with time, we develop a non-Bayesian time-varying model to examine whether the U.S. stock market has evolved or not. In particular, we estimate the time-varying impulse responses which is based on our non-Bayesian time-varying autoregressive model. The empirical results show that (1) the U.S. stock market evolves over time, and (2) the market efficiency in the U.S. stock market has a cyclical fluctuation with very long periodicity, from 30 to 40 years." @default.
• W1570668608 created "2016-06-24" @default.
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• W1570668608 date "2012-02-01" @default.
• W1570668608 modified "2023-09-27" @default.
• W1570668608 title "The Evolution of Market Efficiency and its Periodicity: A Non-Bayesian Time-Varying Model Approach" @default.
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