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• W3105709079 abstract "A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading environment over time. With new methodologies and a new measure of the degree of market efficiency, we examine whether the US stock market evolves over time. In particular, a time-varying autoregressive (TV-AR) model is employed. Our main findings are: (i) the US stock market has evolved over time and the degree of market efficiency has cyclical fluctuations with a considerably long periodicity, from 30 to 40 years; and (ii) the US stock market has been efficient with the exception of four times in our sample period: during the long-recession of 1873-1879; the recession of 1902-1904; the New Deal era; and the recession of 1957-1958 and soon after it. It is then shown that our results are partly consistent with the view of behavioral finance." @default.
• W3105709079 created "2020-11-23" @default.
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• W3105709079 date "2015-09-11" @default.
• W3105709079 modified "2023-10-14" @default.
• W3105709079 title "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach" @default.
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• W3105709079 doi "https://doi.org/10.1080/00036846.2015.1083532" @default.
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