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Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets [PDF]
The Review of Finance and Banking, 2009 In this paper we investigate the profitability of the moving average strategy on six Asian capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. For each market, the most profitable strategy from 15000 alternatives is selected.
Alexandru Todea +2 more
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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 (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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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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Behavior of the North African Stock Markets: Validation of the Adaptive Market Hypothesis
Journal of Information EconomicsThis study aims to explore stock markets behavior in North African region by testing Adaptive Market Hypothesis (AMH) in the Tunisian and Moroccan stock market. We tested the predictability of daily returns for the TUNINDEX and the MASI from January 2002
Sana Ben Cheikh
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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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Central European Economic Journal
The objective of this study was to examine the level and behaviour of the weak-form efficiency of the 16 most capitalised cryptocurrencies using intraday data. The study employed martingale difference hypothesis tests utilising the rolling window method.
Jacek Karasiński
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The objective of this study was to examine the level and behaviour of the weak-form efficiency of the 16 most capitalised cryptocurrencies using intraday data. The study employed martingale difference hypothesis tests utilising the rolling window method.
Jacek Karasiński
semanticscholar +1 more source
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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