Results 41 to 50 of about 2,384 (166)
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
doaj +1 more source
Risks, 2023 This study assesses the dynamic relationship between macroeconomic factors and bank asset quality based on changes in the condition of stock market returns.
Richard Apau +2 more
doaj +1 more source
, 2019 We analyze the directional predictability in foreign exchange markets of Brazil, Russia, India, China and South Africa (BRICS) using the quantilogram, based on long-spans of monthly historical data, at times covering over a century.
Gupta, Rangan, Plakandaras, Vasilios
core +1 more source
The Economics and Finance LettersThis study aims to investigate market efficiency and compare the profitability of the Sharpe Ratio Minimae and Maximae trading strategies with the buy-and-hold strategy across indices in different global markets.
Ajay Raju +2 more
semanticscholar +1 more source
Computational Intelligence for Analysis Concerning Financial Modelling and the Adaptive Market Hypothesis [PDF]
, 2012 This thesis concerns the field of computational intelligence (CI), an important area of computer science that predominantly endeavours to model complex systems with heuristic algorithms.
Butler, Matthew R
core
Evidence on Presence of Adaptive Market Hypothesis in Nepal Stock Exchange
, 2022 In recent years, the argument on capital market efficiency has shifted to alternative forms of the hypothesis. This research examines one of such alternatives, the Adaptive Market Hypothesis (AMH) with an aim to offer a framework for testing the dynamic ...
Ajaya Dhungana (9591449) +1 more
core +1 more source
On the Evolution of the Stock Market Efficiency: Evidence From Emerging Markets
International Studies of Economics, EarlyView.ABSTRACT The study of market efficiency is one of the most covered topics in the field of financial markets, with the Efficient Market Hypothesis gathering devotees as well as several critics. The perception of markets as agents with an adaptive nature gave rise to the Adaptive Market Hypothesis (AMH).
Júlio Lobão, Luís Pacheco, Nuno Cruz
wiley +1 more source
Are markets adaptive? Evidence of predictability and market efficiency of lodging/resort REITs
International Journal of Strategic Property Management, 2020 We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling ...
Fahad Almudhaf +2 more
doaj +1 more source
, 2020 This study evaluates the varying degree of predictability of commodities return through empirical analysis of AMH (Adaptive Market Hypothesis). We divide daily returns data (from 1996 to 2013) of commodities indices (Gold, Metal, Oil& Silver) into ...
Adil, Shahid +3 more
core +1 more source
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source