Relevance and evolution of adaptive markets hypothesis: a review

Dhankar, Raj S.; Shankar, Devesh

doi:10.1108/jibr-12-2015-0125

Cited by 7 publications

(3 citation statements)

References 31 publications

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“…While on the other hand, EURO STOXX 50 results indicated that during bull periods there is considerably higher predictability, while during down periods, periods where the average return is negative, there is considerably lower predictability. The reader can refer to Dhankar and Shankar (2016) for a detailed literature review.…”

Section: Literature Reviewmentioning

confidence: 99%

Adaptive Market Hypothesis: Evidence from three centuries of UK data

Almail¹,

Almudhaf

2017

Econ Bus Lett

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Section: Literature Reviewmentioning

confidence: 99%

Adaptive Market Hypothesis: Evidence from three centuries of UK data

Almail¹,

Almudhaf

2017

Econ Bus Lett

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“…The adaptive market hypothesis (AMH) was proposed to show the predictability and operability of the stock market and its profit [18][19][20]. The AMH also gives us a more realistic perspective compared with the EMH.…”

Section: Adaptive Market Hypothesis and Imperfection Of Efficient-market Hypothesismentioning

confidence: 99%

Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect

Zhou

Wang

2021

Mathematics

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Despite the future price of individual stocks has long been proved to be unpredictable and irregular according to the EMH, the turning points (or the reversal) of the stock indices trend still remain the rules to follow. Therefore, this study mainly aimed to provide investors with new strategies in buying ETFs of the indices, which not only avoided the instability of individual stocks, but were also able to get a high profit within weeks. Famous theories like Gann theory and the Elliott wave theory suggest that as part of the nature, market regulations and economic activities of human beings shall conform to the laws of nature and the operation of the universe. They further refined only the rules related to specific timepoints and the time cycle rather than the traditional analysis of the complex economic and social factors, which is, to some extent, similar to what the Chinese traditional culture proposes: that every impact on and change in the human society is always attributable to changes in the nature. The study found that the turns of the stock indices trend were inevitable at specific timepoints while the strength and intensity of the turns were uncertain, affected by various factors by then, which meant the market was intertwined with both certainty and uncertainty at the same time. The analysis was based on the data of the Shanghai Index, the Second Board Index and the Shenzhen Index, the three major indices that represent almost all aspects of the Chinese stock market, for the past decades. It could effectively reduce the heteroscedasticity, instability and irregularity of time series models by replacing 250 daily high-frequency data with the extreme points near every twenty-four solar terms per year. The forecasts focusing on the future stock trend of the all-solar-terms group and the eight-solar-terms group were proved accurate. What is more, the indices trend was at a high probability to turn in a range of four days at each solar term. The alert period also provided the readers with a practical example of how it works in the real investment environment.

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“…According to Dhankar and Shankar (2016), there are several practical implications of AMH, namely: there is a dynamic risk-reward relationship that depends on the preferences of market participants; market efficiency is not a stable state; arbitrage opportunities exist from time to time and decrease as investors exploit them, and the non-periodic cyclical profitability of investment strategies suggests that a given strategy would perform well in one environment and perform poorly in another.…”

Section: Introductionmentioning

confidence: 99%

Evidence of the adaptive market hypothesis in shares traded by B3 listed banking companies

Souza

Silva

Lima

2021

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PurposeThe authors aim to verify the indicators that influence the efficiency reported by Brazilian listed financial companies.Design/methodology/approachThe sample consists of companies in the financial segment that have shares traded in B3, comprising nine institutions from 2000 to 2018 were selected. The authors adopted the regression model with unbalanced panel data to analyze the data. The dependent is the efficiency, which the authors calculated using Hurst Exponent. As independent variables, we used the sector-specific indicators: earnings management, banking resilience, management efficiency, and profitability. The authors controlled the models by size and type of control.FindingsThe findings indicate that the efficiency of financial companies' securities is affected by aspects related to management, resilience, and efficiency in administration. The lower the earnings management, the greater the banking resilience, the efficiency in the management of resources, and the efficiency of stock prices of these companies. These results show that efficiency is affected by intrinsic factors of the entities, corroborating the hypothesis that markets adapt, among others, to institutional factors.Originality/valueMany users of financial institutions understand whether their stock prices reflect the information provided by accounting. The findings are original because they provide evidence that institutional factors affect the efficiency of companies in the Brazilian financial segment.

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Relevance and evolution of adaptive markets hypothesis: a review

Cited by 7 publications

References 31 publications

Adaptive Market Hypothesis: Evidence from three centuries of UK data

Adaptive Market Hypothesis: Evidence from three centuries of UK data

Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect

Evidence of the adaptive market hypothesis in shares traded by B3 listed banking companies

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