Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange

Research in International Business and Finance - Tập 32 - Trang 50-59 - 2014
Majid Mirzaee Ghazani1, Mansour Khalili Araghi1
1University of Tehran, Iran

Tóm tắt

Từ khóa


Tài liệu tham khảo

Alagidede, 2011, Return behaviour in Africa's emerging equity markets, Q. Rev. Econ. Finance, 51, 133, 10.1016/j.qref.2011.01.004

Azad, 2014, Unchecked manipulations, price–volume relationship and market efficiency: evidence from emerging markets, Res. Int. Bus. Finance, 30, 51, 10.1016/j.ribaf.2013.05.003

Barber, 2001, Quarterly Journal of Economics, 116, 261, 10.1162/003355301556400

Borges, 2010, Efficient market hypothesis in European stock markets, Eur. J. Finance, 16, 711, 10.1080/1351847X.2010.495477

Brock, 1992, Simple technical trading rules and the stochastic properties of stock returns, J. Finance, 47, 1731, 10.1111/j.1540-6261.1992.tb04681.x

Caraiani, 2012, Nonlinear dynamics in CEE stock markets indices, Econ. Lett., 114, 329, 10.1016/j.econlet.2011.11.010

Charles, 2009, Variance–ratio tests of random walk: an overview, J. Econ. Surv., 23, 503, 10.1111/j.1467-6419.2008.00570.x

Choi, 1999, Testing the random walk hypothesis for real exchange rates, J. Appl. Econometrics, 14, 293, 10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5

Debondt, 1985, Does the stock market overreact?, Journal of Finance, 40, 793, 10.1111/j.1540-6261.1985.tb05004.x

Doran, 2010, Confidence, opinions of market efficiency, and investment behavior of finance professors, J. Financ. Market., 13, 174, 10.1016/j.finmar.2009.09.002

Escanciano, 2006, Generalized spectral tests for the martingale difference hypothesis, J. Econometrics, 134, 151, 10.1016/j.jeconom.2005.06.019

Escanciano, 2009, An automatic Portmanteau test for serial correlation, J. Econometrics, 151, 140, 10.1016/j.jeconom.2009.03.001

Fama, 1988, Permanent and temporary components of stock prices, J. Pol. Econ., 96, 246, 10.1086/261535

Fama, 1965, The behavior of stock market prices, J. Bus., 38, 34, 10.1086/294743

Grossman, 1980, On the impossibility of informationally efficient markets, American Economic Review, 70, 393

Hiremath, 2010, Nonlinear dependence in stock returns: evidence from India, J. Quant. Econ., 8, 69

Ito, 2009, Measuring the degree of time varying market inefficiency, Econ. Lett., 103, 62, 10.1016/j.econlet.2009.01.028

Jegadeesh, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, J. Finance, 48, 65, 10.1111/j.1540-6261.1993.tb04702.x

Kim, 2006, Wild bootstrapping variance ratio tests, Economics Letters, 92, 38, 10.1016/j.econlet.2006.01.007

Kim, 2009, Automatic variance ratio test under conditional heteroskedasticity, Finance Research Letters, 3, 179, 10.1016/j.frl.2009.04.003

Kim, 2009, Nonlinear mean reversion in the G7 stock markets, Applied Financial Economics, 19, 347, 10.1080/09603100802389007

Kim, 2011, Stock return predictability and the adaptive markets hypothesis: evidence from century-long U.S. data, J. Empir. Finance, 18, 868, 10.1016/j.jempfin.2011.08.002

Lagoarde-Segot, 2008, Efficiency in emerging markets – evidence from the MENA region, J. Int. Financ. Market. Inst. Money, 18, 94, 10.1016/j.intfin.2006.06.003

Lim, 2006

Lim, 2011, The evolution of stock market efficiency over time: a survey of the empirical literature, J. Econ. Surv., 25, 69, 10.1111/j.1467-6419.2009.00611.x

Lim, 2008, Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets, J. Int. Financ. Market. Inst. Money, 18, 527, 10.1016/j.intfin.2007.08.001

Lim, 2012, Non-linear predictability in G7 stock index returns, Manchester Sch.

Lim, 2013, Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests, Appl. Econ., 45, 953, 10.1080/00036846.2011.613782

Lo, 2004, The adaptive markets hypothesis, J. Portfolio Manage., 30, 15, 10.3905/jpm.2004.442611

Lo, 2005, Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis, J. Invest. Consult., 7, 21

Lo, 1988, Stock market prices do not follow random walks: evidence from a simple specification test, Rev. Financ. Stud., 1, 41, 10.1093/rfs/1.1.41

McLeod, 1983, Diagnostic checking ARMA time series models using squared-residual autocorrelations, J. Time Series Anal., 4, 269, 10.1111/j.1467-9892.1983.tb00373.x

Mobarek, 2014, The prospects of BRIC countries: testing weak-form market efficiency, Res. Int. Bus. Finance, 30, 217, 10.1016/j.ribaf.2013.06.004

Opong, 1999, The behavior of some UK equity indices: an application of Hurst and BDS tests, J. Empir. Finance, 6, 267, 10.1016/S0927-5398(99)00004-3

Rejichi, 2012, Hurst exponent behavior and assessment of the MENA stock markets efficiency, Res. Int. Bus. Finance, 26, 353, 10.1016/j.ribaf.2012.01.005

Saeedi, 2012

Smith, 2011, The changing and relative efficiency of European emerging stock markets, Eur. J. Finance

Todea, 2009, Adaptive markets hypothesis: evidence from Asia-Pacific financial markets, Rev. Finance Bank., 1, 7

Urquhart, 2013, Efficient or adaptive markets? Evidence from major stock markets using very long run historic data, Int. Rev. Financ. Anal., 28, 130, 10.1016/j.irfa.2013.03.005

Wright, 2000, Alternative variance-ratio tests using ranks and signs, Journal of Business and Economic Statistics, 18, 1, 10.1080/07350015.2000.10524842