Results 31 to 40 of about 294,605 (321)
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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The Day-of-the-Week Effect and the Adaptive Market Hypothesis in Latin American Stock Markets
Estudios Gerenciales, 2023 The objective of this work is to examine the Day-of-the-Week anomaly from the perspective of the Adaptive Markets Hypothesis for the stock market indices of Argentina, Brazil, Chile, Colombia, Mexico, and Peru in different subperiods and under different ...
Dacio Villarreal-Samaniego +1 more
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Quantitative Finance and Economics, 2020 This paper analyses the behaviour of stock returns and calendar anomalies over a ten year period: 2007–2016 on the London Stock Exchange, through two major indices, the FTSE100 and FTSE250.
Lucrezia Rosini, 10.3934/QFE.2020006
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Heliyon, 2020 This paper scrutinizes different aspects of the Adaptive Market Hypothesis (AMH) in the Moroccan financial market over the period from January 1992 to September 2019 through different approaches.
Mostafa Lekhal, Ahmed El Oubani
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Comparative Economic Research, 2019 In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day‑of‑the‑week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being
Adefemi A. Obalade +1 more
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An agent-based model of financial market efficiency dynamics
Borsa Istanbul Review, 2022 We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics.
Ahmed El Oubani, Mostafa Lekhal
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A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
, 2016 This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach.
Akihiko Noda +20 more
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İktisadi İdari ve Siyasal Araştırmalar Dergisi, 2023 We aim in this study to investigate the existence of the Adaptive Market Hypothesis in the Turkish stock market during the global crisis periods. For this purpose, in order to detect the changes in different sectors, Borsa Istanbul's main index (XU100 ...
Sermet Doğan, Sinan Aytekin
semanticscholar +1 more source
Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets
Central European Management Journal, 2019 Purpose: This paper examines the changing behavior of two calendar anomalies in African stock returns – the month-of-the-year and the intra-month effects – and their implications for the adaptive market hypothesis (AMH).
Obalade Adefemi A. +1 more
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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
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