Results 21 to 30 of about 193,988 (291)
Cogent Economics & Finance, 2020 This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies ...
Ambreen Khursheed +3 more
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The weak-form efficiency of cryptocurrencies
Research Papers in Economics and Finance, 2023 This study aimed to examine the weak-form efficiency of some of the most capitalised cryptocurrencies. The sample consisted of 24 cryptocurrencies selected out of 30 cryptocurrencies with the highest market capitalisation as of October 19, 2022 ...
Jacek Karasiński
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Adaptive markets hypothesis and economic-institutional environment: a cross-country analysis [PDF]
REGE Revista de GestãoPurpose – This study’s goal was to identify how several markets have developed over time and what determinants have influenced this process, based on adaptive markets hypothesis (AMH).
Marco Aurélio dos Santos +3 more
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Financial Innovation, 2021 This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil.
Majid Mirzaee Ghazani +1 more
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International Journal of Financial Studies, 2023 The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October).
Júlio Lobão, Ana C. Costa
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Behavior of Calendar Anomalies, Market Conditions and Adaptive Market Hypothesis: Evidence from Pakistan Stock Exchange [PDF]
Pakistan Journal of Commerce and Social Sciences, 2017 The current study investigates Adaptive Market Hypothesis (AMH) via five different calendar effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 index. The sample comprises 24 years over the period from January 1992 to
Muhammad Naeem Shahid (Corresponding author)
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Are stock markets really efficient? Evidence of the adaptive market hypothesis [PDF]
International Review of Financial Analysis, 2016 This study examines the adaptive market hypothesis in the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also whiten the returns through an AR-GARCH process to study the ...
Urquhart, Andrew, Mcgroarty, Frank
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Spectral analysis and the death of value investing
Cogent Economics & Finance, 2021 This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis.
John-Morgan Bezuidenhout +1 more
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The adaptive market hypothesis and the return predictability in the cryptocurrency markets
Economics and Business Review, 2023 This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis.
Karasiński Jacek
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Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis
Latin American Journal of Central Banking, 2023 In this paper, we analyze BRICS countries’ long-term exchange rate market efficiency. Our analysis, using multifractal detrended fluctuation analysis (MFDFA) for the 2009–2021 period, shows considerable differences in the exchange rate efficiency of ...
Natalia Diniz-Maganini +2 more
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