Results 11 to 20 of about 206 (120)
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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A Composite Index for Measuring Stock Market Inefficiency
Complexity, 2022 Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time-varying measure ...
Raffaele Mattera +2 more
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Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market [PDF]
Colombo Business JournalThe study examines the adaptive market hypothesis (AMH) as an evolutionary principle of the alternative efficient market hypothesis in the Indian stock market (Sensex and Nifty50) on the daily return from April 2014 to May 2020.
Nang Biak Sing, Rajkumar Giridhari Singh
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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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Time-Varying Return Predictability in the Chinese Stock Market [PDF]
Reports in Advances of Physical Sciences, 2017 China’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies.
Huai-Long Shi +2 more
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Weryfikacja wybranych zastosowań hipotezy rynku adaptacyjnego na rynkach finansowych
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 2017 Hipoteza rynku adaptacyjnego (adaptive market hypothesis – AMH), której autorem jest A. Lo, to jeden z najnowszych modeli opisujących działanie rynków finansowych.
Michał Kasolik
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SAGE Open, 2022 This study contributes to the growing debate on the relation between varying stock market conditions and the profitability of stock market anomalies. We investigate the effect of changed market conditions on time-varying contrarian profitability in order
Ali Fayyaz Munir +2 more
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The efficiency of the new reference rate in Türkiye
Borsa Istanbul Review, 2023 The transition from the reference rate based on interbank offered rates, such as the Turkish lira interbank offer rate (TRLIBOR), to the risk-free rate (RfR), the Turkish lira overnight reference rate (TLREF), in Türkiye is a critical juncture, but it is
Remzi Gök, Burak Pirgaip, Elie Bouri
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The changing market efficiency of the Nairobi securities exchange [PDF]
Banks and Bank Systems, 2016 This paper tests for market efficiency changes of the Nairobi Securities Exchange (NSE) after the year 2000 and determines whether technological advancements have led to an increase in the market efficiency.
Josephine M. Njuguna
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Regime-Switching Determinants of Mutual Fund Performance in South Africa
Economies, 2021 This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds ...
Richard Apau +2 more
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