Adaptive Market Hypothesis: Evidence from three centuries of UK data

Adaptive Market Hypothesis: Evidence from three centuries of UK data

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 (AM...

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Veröffentlicht in:Economics and Business Letters 2017, Vol.6 (2), p.48-53
Hauptverfasser: Almail, Ali, Almudhaf, Fahad
Format: Artikel
Sprache:eng
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Zusammenfassung: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).
ISSN:2254-4380
2254-4380
DOI:10.17811/ebl.6.2.2017.48-53