TY - JOUR
T1 - Dynamic efficiency in the East European emerging markets
AU - Tsukuda, Yoshihiko
AU - Miyakoshi, Tatsuyoshi
AU - Shimada, Junji
N1 - Funding Information:
We are thankful to the editor and two anonymous referees for their constructive comments, which are helpful for improving an earlier aversion of this paper. The research by the second author was supported by the Ishii Memorial Securities Research Promotion Foundation in 2005 and a grant-in-aid 16530204 from the Ministry of Education, Science and Culture of Japan.
PY - 2005/6
Y1 - 2005/6
N2 - The paper re-investigates the efficiency of the East European emerging markets of the Czech Republic, Hungary, Poland and Russia analyzed by Rockinger and Urga (2000, 2001) based on the data from September, 1995 through December, 2004. We propose a first-order autoregressive (AR (1)) type time varying parameter model with a non-stochastic linear time trend including the random walk (RW) type model as a special case. The observed data rejects the RW type model for the AR (1) type one. The markets exhibit dynamic efficiency for all the four countries in the sense that the linear time trend approaches to zero over time. The empirical result for the Russian markets differs from that of Rockinger and Urga (2000).
AB - The paper re-investigates the efficiency of the East European emerging markets of the Czech Republic, Hungary, Poland and Russia analyzed by Rockinger and Urga (2000, 2001) based on the data from September, 1995 through December, 2004. We propose a first-order autoregressive (AR (1)) type time varying parameter model with a non-stochastic linear time trend including the random walk (RW) type model as a special case. The observed data rejects the RW type model for the AR (1) type one. The markets exhibit dynamic efficiency for all the four countries in the sense that the linear time trend approaches to zero over time. The empirical result for the Russian markets differs from that of Rockinger and Urga (2000).
KW - Dynamic efficiency
KW - East European emerging markets
KW - K1alman filter
KW - Time varying parameter
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U2 - 10.1007/s10690-006-9017-6
DO - 10.1007/s10690-006-9017-6
M3 - Article
AN - SCOPUS:33748414925
VL - 12
SP - 159
EP - 179
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
SN - 1387-2834
IS - 2
ER -