Adaptive Market Hypothesis: Evidence from three centuries of UK data
DOI:
https://doi.org/10.17811/ebl.6.2.2017.48-53Abstract
We examine the evolving efficiency of UK stock market and currency (British Pound) during the last three centuries. Using both Automatic Variance Ratio (AVR) and Automatic Portmanteau (AQ) tests, we find evidence of time-varying degree of efficiency which supports the Adaptive Markets Hypothesis (AMH).
References
Al-Khazali, O.M., Guillaume L. and Alsayed, M.S. (2015) A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices, Emerging Markets Finance and Trade, 938, 1–19.
Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997) The Econometrics of Financial Mar-kets, Princeton University Press, Princeton.
Charles, A., Olivier D. and Kim, J.H. (2012) Exchange-rate return predictability and the adap-tive markets hypothesis: Evidence from major foreign exchange rates. Journal of Inter-national Money and Finance, 31, 1607–1626.
Choi, I. (1999) Testing the random walk hypothesis for real exchange rates, Journal of Applied Economics, 14(3), 293–308.
Dhankar, R.S. and Shankar, D. (2016) Relevance and evolution of adaptive markets hypothe-sis: a review, Journal of Indian Business Research, 8(3), 166-179.
Escanciano, J.C. and Lobato, I.N. (2009) An automatic Portmanteau test for serial correlation, Journal of Econometrics, 151, 140–149.
Fama, E.F. (1970) Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25(2), 383-417.
Fama, E.F. (1991) Efficient Capital Markets, Journal of Finance, 46, 383–417.
Grossman, S.J. and Stiglitz, J.E. (1980) On the Impossibility of informationally Efficient Mar-kets, American Economic Review, 70, 393–408.
Kim, J.H. (2009) Automatic variance ratio test under conditional heteroskedasticity, Finance Research Letters, 6(3), 179-185.
Kim, J.H., Shamsuddin, A. and Lim, K.P. (2011) Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data, Journal of Empirical Finance, 18, 868–879.
Lim, K.P., Luo, W. and Kim, J.H. (2013) Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests, Applied Economics, 45(8), 953-962.
Lo, A.W. (2004) The Adaptive Markets Hypothesis, Journal of Portfolio Management, 30, 15-29.
Lo, A.W. (2005) Reconciling Efficient Market with Behavioral Finance: The Adaptive Mar-kets Hyphotesis, Journal of Investment Consulting, 7, 1–25.
Ţiţan, A.G. (2015) The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research, Procedia Economics and Finance, 32, 442–449.
Urquhart, A. and Hudson, R. (2013) Efficient or adaptive markets? Evidence from major stock markets using very long run historic data, International Review of Financial Analysis, 28, 130–142.
Urquhart, A. and McGroarty, F. (2016) Are stock markets really efficient? Evidence of the adaptive market hypothesis, International Review of Financial Analysis, 47, 39–49.
Downloads
Published
How to Cite
Issue
Section
License
The works published in this journal are subject to the following terms:
1. Oviedo University Press (the publisher) retains the property rights (copyright) of published works, and encourages and enables the reuse of the same under the license specified in paragraph 2.
© Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press
2. The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.
3. Conditions of self-archiving. The author can archive the post-print version of the article (publisher’s version) on the author’s personal website and/or on the web of the institution where he belong, including a link to the page of the journal and putting the way of citation of the work. Economics and Business Letters and its URL https://reunido.uniovi.es/index.php/EBL/index are the only authorized source for correctly giving the reference of the publisher’s version in every mention of the article.