Adaptive Market Hypothesis: Evidence From Three Centuries of UK Data
Almail, A. & Almudhaf, F. (2017) “Adaptive market hypothesis: evidence from three centuries of UK data” Economics and Business Letters, 6(2), 48-53.
Posted: 2 Sep 2020
Date Written: 2017
We examine the evolving efficiency of UK stock market and currency (British Pound) during the last three centuries. Using both Automatic Variance Ratio (AVR) and Automatic Portmanteau (AQ) tests, we find evidence of time-varying degree of efficiency which supports the Adaptive Markets Hypothesis (AMH).
Keywords: Adaptive Market Hypothesis (AMH), Efficient Market Hypothesis (EMH), UK Stock, British Pound
JEL Classification: G10, G12, G14
Suggested Citation: Suggested Citation