Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market

Popović, Saša; Mugoša, Ana; Đurović, Andrija

doi:10.1080/1331677x.2013.11517620

Cited by 10 publications

(5 citation statements)

References 12 publications

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“…Studies conducted in other markets also find support from AMH, such as Popovic, Mugosa, and Durovic (2013), Urquhart and Hudson (2013), Ghazani and Araghi (2014), Dourado and Tabak (2014), Su arez, Duarte, and Ort ız (2015), Verheyden, De Moor, and Bossche (2015), Hiremath and Narayan (2016), Urquhart and McGroarty (2016), Okorie and Lin (2021), and Munir, Sukor, and Shaharuddin (2022). These studies suggest different impacts by macroeconomic and institutional incentives on market efficiency, suggesting that factors other than economic ones may affect market efficiency over time, and differently, depending on the stimulus level and macroeconomic environment.…”

Section: Adaptive Markets Hypothesis (Amh)mentioning

confidence: 86%

Adaptive markets hypothesis and economic-institutional environment: a cross-country analysis

Santos

Fávero

Brugni

et al. 2023

REGE

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Purpose This study’s goal was to identify how several markets have developed over time and what determinants have influenced this process, based on adaptive markets hypothesis (AMH). In this regard, the authors consider that agents are driven by the seeking for abnormal returns to stay “alive” and their environment could somehow modify their decision-making processes, as well as influence the degree of efficiency of the market.Design/methodology/approach The authors collected the daily closing-of-the-market index from 50 countries, between 1990 and 2022. The sample includes emerging countries, developed countries and frontier markets. Then, the authors ran multilevel modeling using Hurst exponent as an informational efficiency metric estimated by two different moving windows: 500 and 1,250 observations (approximately 2 and 5 years).Findings The results indicate that the efficiency of the markets is not constant over time. The authors also have identified that markets follow a cyclical pattern of efficiency/inefficiency, and they are currently in a period of convergence to efficiency, possibly explained by the increase in computational capacity and speed of the available information to agents. In addition, this study identified that country characteristics are associated with market efficiency, considering institutional factors.Originality/value Studies of this nature contribute to the literature, considering the importance of better comprehension of market efficiency dynamics and their determinants, specially observing other theories on the relationship between information and markets (like AMH), which work with other investor assumptions than those used by efficient market hypothesis.

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Section: Adaptive Markets Hypothesis (Amh)mentioning

confidence: 86%

Adaptive markets hypothesis and economic-institutional environment: a cross-country analysis

Santos

Fávero

Brugni

et al. 2023

REGE

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“…Otherwise, it can be inferred that the efficiency of the relevant market is consistent with the implications of the EMH. In the existing literature, a large number of studies have reported that the efficiency of various financial markets is time-varying consistent with the implications of the AMH (see, for example, Lo, 2004;Lim et al, 2013;Popović et al, 2013;Ghazani and Araghi, 2014;Verheyden et al, 2015;Ito et al, 2016;Noda, 2016;Charles et al, 2017;Rahman et al, 2017;Chu et al, 2019;Jiang and Li, 2020;Noda, 2020). These studies report time-varying return predictability by examining only price movements.…”

Section: Zamanla Değişen Getiri öNgörülebilirliği Ve Adaptif Piyasalar Hipotezi: Yeni Bir Yaklaşım Olan Wild Bootstrap Olabilirlik Oranı mentioning

confidence: 96%

Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach

Özkan¹

2020

BU Journal

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This paper investigates the evolution of the return predictability (or market efficiency) degree for Mexico, Indonesia, South Korea, and Turkey (MIST) countries and examines whether the findings are consistent with the implications of adaptive markets hypothesis (AMH). For this purpose, the novel wild bootstrap likelihood ratio approach of Kim and Shamsuddin ( 2020) is applied on the monthly data from January 1993 to July 2020 with the rolling sub-sample windows method to determine whether the ability of inflation and trading volume to predict stock market returns varies over time. The empirical findings verify that the return predictability (or market efficiency) is time-varying consistent with the implications of the AMH for all MIST countries. This verification is also strengthened by using other predictor variables, namely, exchange rate and realized volatility. This paper reveals that the AMH is more successful in explaining real stock market behavior than efficient markets hypothesis.

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“…However, it has been explained that the time-varying feature complies with the AMH. Also, Popović et al (2013) applied the Runs test within the moving sub-sample approach to the Montenegro MONEX20 index data of 2004-2011 to investigate the market efficiency over time and the result of the analysis confirmed the AMH. Urquhart & Hudson (2013) studied the validity of the AMH for the stock markets of the US, UK, and Japan with long-term historical data.…”

Section: Literature Reviewmentioning

confidence: 97%

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

Burhan

Acar

2021

Sosyoekonomi

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The adaptive market hypothesis (AMH) has recently attracted significant interest in the financial literature. The AMH has started to be considered an alternative to the efficient market hypothesis. In this respect, this study, first of all, examines the AMH for the BIST100 index of Turkey's Borsa Istanbul stock exchange market by testing the return predictability. The applications are performed via automatic portmanteau and the generalized spectral (GS) tests using daily closing price data between January 1988 and December 2017. Secondly, the results of these tests are utilized for a hidden Markov model (HMM) application to examine the periods that yield return predictability. According to the results, it is observed that there is strong evidence for the validity of AMH within the scope of Borsa Istanbul's BIST100. Additionally, the results of the HMM application confirm the periodic predictability regarding the determinants of the index.

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Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market

Cited by 10 publications

References 12 publications

Adaptive markets hypothesis and economic-institutional environment: a cross-country analysis

Adaptive markets hypothesis and economic-institutional environment: a cross-country analysis

Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

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