Grant in Aid for Scientific Research (C) No.24530364 のバックアップ(No.2)

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About This Project†

Project Name†

"Measuring the Time-Varying Efficiency and Market Linkages in Modern Japanese Rice Markets" Project

Project Members†

• Leader: Akihiko NODA (Assistant Professor of Finance, Wakayama University)
• Member#1: Shigehiko IOKU (Professor of Economic History, Keio University)
• Member#2: Mikio ITO (Associate Professor of Economics, Keio University)
• Collaborator: Kiyotaka Maeda (Graduate School of Economics, Keio University)

Dataset†

All data and programs used for this research project are available on request.

Publications†

Published in Refereed Journals†

2012†

Submitted Papers†

2012†

• Akihiko Noda "A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan", submitted.
• Akihiko Noda "An Empirical Survey on the Standard CCAPM via Moment Restriction Models in Japan", revised and resubmitted.

Discussion/Working Papers†

2012†

• Akihiko Noda "A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan", [arXiv:1207.1842].
• Mikio Ito and Akihiko Noda "Dynamic Stock Market Linkages and Market Efficiency: A Non-Bayesian Time-Varying Model Approach", [arXiv:1203.5176].
• Mikio Ito and Akihiko Noda "The Evolution of Market Efficiency and its Periodicity: A Non-Bayesian Time-Varying Model Approach", [arXiv:1202.0100].

Presentations†

Conference Presentations†

2012†

• Dynamic Stock Market Linkages and Market Efficiency: A Non-Bayesian Time-Varying Model Approach
  • Japanese Economic Association 2011 Autumn Meeting at Kyushu Sangyo University (Octorber 2012).
• The Evolution of Market Efficiency and its Periodicity: A Non-Bayesian Time-Varying Model Approach
  • Western Economic Association International Annual Conference in San Francisco (June 2012).
  • Nippon Finance Association 2012 Annual Meeting at Hitotsubashi University (May 2012).

Seminar Presentations†

2012†

• Dynamic Stock Market Linkages and Market Efficiency: A Non-Bayesian Time-Varying Model Approach
  • Economic Seminar at Chukyo University Institute of Economics (Octorber 2012).
• A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
  • Economics Seminar at Doshisha University (July 2012).