The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

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 behavioural finance.     

Impossibility Theorems with Interpersonally Comparable Welfare Levels: The "Extended Sympathy Approach" Reconsidered

We re-examine a type of interpersonal welfare comparison, called the "extended sympathy" approach, which Arrow (1977), Hammond (1976) and Roberts (1980a) introduced in order to escape from Arrovian impossibility theorems. In particular, we extend the positional dictatorship theorem due to Roberts to the case where the domain of social choice rules satisfies the axiom of identity. We show that there is a positional dictator if the rule with the domain satisfies independence, Suppes unanimity and monotonicity
JEL Classification Numbers: 022, 025, 026     

International stock market efficiency: a non-Bayesian time-varying model approach

This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.     

Environmental Management in Japan: Applications of Input–Output Analysis to the Emission of Global Warming Gases

Environmental management requires, among other things, the incorporation of environmentally friendly technologies into production processes of environmentally friendly technologies into production processes at the producer level and the adoption of energy consumption patterns which save energy use at the household level. The systemwide approach involving both technology choice and consumer preference seems particularly essential for controlling the total emission of global warming gases. CO₂ and other global warming gases, as well as certain pollution causing gases, are produced when fossil fuels are burnt; and the consumption of fossil fuels occurs in both the production and consumption of goods and services. In this paper we discuss how input–output analysis can be used to estimate the entire production and consumption of global warming gases conditional on production technology and consumer preferences. We also present estimation results and their application to some environmental management issues in Japan. © 1997 John Wiley & Sons, Ltd.     

International Trade with a Public Intermediate Good and the Gains from Trade*

This paper presents a one‐primary factor, two‐consumer good, and two‐country model of international trade where each country’s government supplies a country‐specific public intermediate good so as to attain efficient production. By introducing the Marshallian adjustment process, it is demonstrated that the country with larger factor endowment exports the good whose productivity is more sensitive to the public intermediate good. Our normative analysis of free trade shows the following results. First, at least one country gains from trade. Secondly, if a country incompletely specializes in the trading equilibrium, the country necessarily loses from trade.