Adaptive Markets Hypothesis
Empirical Evidence from Montenegro Equity Market
Bibliographic Data
| ID | 15068413 |
|---|---|
| Authors | Saša Popović (University of Montenegro), Ana Mugoša (0000-0001-7342-155X, University of Montenegro, corresponding author), Andrija Đurović (Klinički Centar Crne Gore) |
| Year | 2013 |
| Volume | 26 |
| Issue | 3 |
| Pages | 31-46 |
| Publication date | 2013-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2013.11517620 |
| OpenAlex | W143699802 |
| Language | EN |
| References cited | 2 |
In this paper we examined adaptive markets hypothesis (AMH) using three factors we assumed that affect weak-form of market efficiency: observation period, time horizon represented by rolling window sizes and data aggregation level. We have analyzed market value weighted index MONEX20, which is proxy from Montenegro equity market, over 2004-2011 period. Rolling window analysis with fixed parameter in each window is employed to measure the persistence of deviations from a random walk hypothesis (RWH) over time. Actually, using rolling sample approach we checked whether short-range linear dependence is varying over time. This method was applied on the first order serial autocorrelation coefficients (AC1), as well as on runs test, since evidence on non-normality properties of MONEX20 suggests using non-parametric test. The evidence was found that all three factors impact degree of weak-form Montenegro equity market efficiency which has serious consequences on profit opportunities over time on this market
Autocorrelation · Cointegration · Econometrics · Economics · Financial economics · Random walk · Statistics · Complex Systems and Time Series Analysis · Financial Markets and Investment Strategies · Mathematics · Monetary Policy and Economic Impact
| Highly cited | No |
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