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

See all articles by Fahad Almudhaf

Fahad Almudhaf

Kuwait University - Department of Finance and Financial Institutions

Date Written: 2017

Abstract

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

Almudhaf, Fahad, Adaptive Market Hypothesis: Evidence From Three Centuries of UK Data (2017). Almail, A. & Almudhaf, F. (2017) “Adaptive market hypothesis: evidence from three centuries of UK data” Economics and Business Letters, 6(2), 48-53., Available at SSRN: https://ssrn.com/abstract=3660109

Fahad Almudhaf (Contact Author)

Kuwait University - Department of Finance and Financial Institutions ( email )

Kuwait

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