Measuring the degree of time varying market inefficiency

By M. Ito, S. Sugiyama. 2009

137 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8bca4a37f1ba63c2e37b03a5026ec94b455e5e2a

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Citations in the corpus

Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “In our previously cited US studies, Gu and Finnerty (2002) focus on DJIA, while Lo (2004, 2005) and Ito and Sugiyama (2009) examine the S&P 500.”
A cross-country analysis of herd behavior in Europe (2014, background): “We argue that our sample is able to capture i nvestor’s sentiment during crises since our sample is free from 5 The latter approach has recently been gaining attention (e.g., Lo, 2004 and 2005; Yen and Lee (2008); Ito and Sugiyama, 2009; and Lim and Brooks, 2011).”
Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011, unknown): “It is clear that the statistics fluctuate over time in a cyclical fashion, as also evident in Lo (2004) and Ito and Sugiyama (2009). There is a clear tendency that the AVR statistics are higher before 1980, especially in the 1960’s and 1970’s, with a strong downward trend since the late 1960’s.”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Though all the aforementioned studies focus on emerging markets, Ito and Sugiyama (2009) report that even the developed US stock market exhibits varying degrees of market efficiency from 1955 to 2006.”
The inefficiency of Bitcoin revisited: a dynamic approach (2017, background): “In this aspect Ito and Sugiyama (2009) find that inefficiency varies through time in the US stock market.”