The Adaptive Market Hypothesis:An empirical study on the UK stock market

WANG, KAIXIN (2019) The Adaptive Market Hypothesis:An empirical study on the UK stock market. [Dissertation (University of Nottingham only)]

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This paper uses the FTSE 350 daily data and subsample method to detect the Adaptive Market Hypothesis (AMH) in the UK stock market. We performed a range of linear and nonlinear tests on sixteen two-yearly subsamples to capture the time-varying characteristic of market efficiency from 1987 to 2018. Both linear and nonlinear test results provide evidence that the market efficiency is not an all-or-nothing condition, and stock returns experience predictable and unpredictable periods. In addition, we find there is a downward trend for the January effect in the UK stock market during the sample period. Meanwhile, the analysis result suggests that AMH based on its more realistic assumptions provides a better explanation of the January effect than the Efficient Market Hypothesis.

Item Type: Dissertation (University of Nottingham only)
Keywords: Adaptive Market Hypothesis;Market efficiency; January effect
Depositing User: Wang, Kaixin
Date Deposited: 30 Nov 2022 16:52
Last Modified: 30 Nov 2022 16:52

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