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The Adaptive Markets Hypothesis
Abstract The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changingLo Andrew W, Zhang Ruixun
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The adaptive market hypothesis in the high frequency cryptocurrency market
International Review of Financial Analysis, 2019This paper investigates the adaptive market hypothesis (AMH) with respect to the high frequency markets of the two largest cryptocurrencies — Bitcoin and Ethereum, versus the Euro and US Dollar. Our findings are consistent with the AMH and show that the efficiency of the markets varies over time.
Chu, Jeffrey +2 more
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Adaptive market hypothesis: evidence from the REIT market
Applied Financial Economics, 2013We tests two important implications for Real Estate Investment Trust (REIT) market efficiency from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none condition but is a characteristic that varies continuously over time; second, market efficiency is dependent upon market conditions. By using the automatic variance
Jian Zhou, Jin Man Lee
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Technology, Adaptation and the Efficient Market Hypothesis
SSRN Electronic Journal, 2019Tests of the efficient market hypothesis (EMH) suffer from a known flaw that has nevertheless received insufficient attention in the literature. Just as in Zeno’s famous paradox of Achilles and the tortoise, while we are testing market efficiency the measure of efficiency has already moved on.
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Adaptive Market Hypothesis (Study of Assumptions)
SSRN Electronic Journal, 2016Adaptive Market Hypothesis (AMH) embraces Efficient Market Hypothesis (EMH) as an idealization that is economically unrealizable, but which serves as a useful benchmark for measuring relative efficiency. AMH’s adaptability to changing dynamics of the market suggests that investors are potentially capable of an optimal dynamic allocation.
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Predictability of precious metals and adaptive market hypothesis
International Journal of Emerging Markets, 2019Purpose The purpose of this paper is to boost the existing literature on adaptive market hypothesis (AMH) as it first time links predictability of gold, silver and metal returns with AMH which permits the predictability of returns to vary over time. Design/methodology/approach To know whether commodity (gold, silver and metal) market is efficient or
Muhammad Naeem Shahid +4 more
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Adaptive market hypothesis and evolving predictability of bitcoin
Economics Letters, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Khuntia, Sashikanta, Pattanayak, J. K.
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Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market
Journal of African Business, 2017ABSTRACTThis study examines the return predictability of two indices – the GSEALSH index and the GSEFSII index on the Ghana stock market. We compare results from analyzing the return series between January 4, 2011 and August 28, 2015 using the generalized spectral test, the automatic portmanteau Box-Pierce test and the wild-bootstrapped automatic ...
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