Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: 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 behavioral
finance.

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The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
19
The categories of this paper are: eess
32
The categories of this paper are: atom-ph
9
The categories of this paper are: nlin
36
The categories of this paper are: cmp-lg
4
The categories of this paper are: cond-mat
15
The categories of this paper are: nucl-ex
12
The categories of this paper are: nucl-th
18
The categories of this paper are: econ
31
The categories of this paper are: ao-sci
7
The categories of this paper are: hep-th
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The categories of this paper are: funct-an
27
The categories of this paper are: comp-gas