Download or read book The Adaptive Market Hypothesis and Stock Return Predictability written by Andrew Urquhart and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also whiten the returns through an AR-GARCH process to study the nonlinear predictability after accounting for conditional heteroscedasticity through the BDS test. We evaluate the time-varying return predictability by applying these tests to fixed length moving subsample windows. We also examine whether there is a relationship between the level of predictability in stock returns and market conditions. The results show that there are periods of significant return predictability, but also episodes of no significant predictability in stock returns. We also find that certain market conditions are significantly related to predictability in certain markets but each market interacts differently with the different market conditions. Therefore our findings suggest that significant return predictability in stock markets does vary over time in a manner consistent with the adaptive market hypothesis and that each market adapts differently to certain market conditions.
Download or read book The Adaptive Market Hypothesis and Predictability of Stock Returns in Africa written by Axola Victor Chumani Myendeki and published by . This book was released on 2018 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Adaptive Markets Hypothesis written by Andrew W. Lo and published by Oxford University Press. This book was released on 2024-02-09 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Adaptive Markets Hypothesis is a formal and systematic exposition. Lo and Zhang develop the mathematical foundations of the simple yet powerful evolutionary model and show that the most fundamental economic behaviours that we take for granted emerge solely through natural selection.
Download or read book Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets written by Gourishankar S. Hiremath and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear dependence suggesting that the Indian stock market switched between periods of efficiency and inefficiency. In contrast, the results from nonlinear tests reveal a strong evidence of nonlinearity in returns throughout the sample period with a sign of tapering magnitude of nonlinear dependence in the recent period. The findings suggest that Indian stock market is moving towards efficiency. The results provide additional insights on association between financial crises, foreign portfolio investments and inefficiency.
Download or read book The Efficient Market Hypothesis and its Application to Stock Markets written by Sebastian Harder and published by GRIN Verlag. This book was released on 2010-11-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Download or read book The Predictability of Stock Returns and the Efficient Market Hypothesis written by Zsuzsanna Fluck and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Predictability of Stock Returns written by Zhong-guo Zhou and published by . This book was released on 1993 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Download or read book Essays on Stock Return Predictability and Market Efficiency written by Lei Jiang and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Are Stock Markets Adaptive Evidence from US Hong Kong and India written by Anand Shah and published by . This book was released on 2019 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study tests the adaptive market hypothesis for the US (Dow Jones and S&P 500), Hong Kong (Hang Seng) and Indian (BSE Sensex) stock markets by testing the 20 years of daily and the weekly data for the return predictability. The indices exhibit the time varying realized risk premia, and the time varying risk return characteristic (Sharpe ratio), indicating that risk preferences are adaptive to the changing market conditions. We also test the time varying return predictability by applying the Ljung - Box test and the Chow - Denning heteroscedasticity consistent variance ratio test to the fixed length moving sub-sample windows of 100, 200, 300 and 500 days and 25, 50 and 100 weeks. We find the evidence of the changing return predictability for all the indices and for all the sub-sample window sizes. Despite the significant correlation between the log returns of the indices, barring Dow Jones and S&P 500, for the weekly data, the periods of the return predictability of the indices do not coincide. For the daily data, the return predictability for the US and the Indian stock markets coincided during the sub-prime crisis of 2008. The heteroscedasticity consistent Chow - Denning statistic is a better measure for comparing the relative market efficiency between the stock markets. This statistic is robust to the sub-sample window size and data frequency i.e. weekly or daily data. This statistic indicates that the periods of return predictability are sparse and hence an active investment management could add value by implementing appropriate trading strategies in the periods of the return predictability. For the period considered, the relative efficiency of Indian stock market is comparable to that of the US stock market.
Download or read book Predictability of Asset Returns and the Efficient Market Hypothesis written by M. Hashem Pesaran and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Analysis of Stock Market Return Predictability written by Justus Heuer and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Download or read book Predictability of Asset Returns and the Efficient Market Hypothesis written by Hashem Pesaran and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Return Predictability and Volatility Estimation written by Yuzhao Zhang and published by . This book was released on 2008 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.
Download or read book Stock Return Predictability written by Alex D. Patelis and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
