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Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets

Alexandru Todea (), Maria Ciupac-Ulici and Simona Silaghi
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Simona Silaghi: Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori

The Review of Finance and Banking, 2009, vol. 01, issue 1, 007-013

Abstract: In this paper we investigate the profitability of the moving average strategy on six Asian capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. For each market, the most profitable strategy from 15000 alternatives is selected. The main conclusion is that profitability of moving average strategies is not constant in time; it is episodic showing when sub-periods of linear and non-linear correlation appear. Thus, one can thus say that the degree of market efficiency varies through time in a cyclical fashion over time and these statistical features are in line with those postulated by Adaptive Markets Hypothesis (AMH) of Lo (2004, 2005).

Keywords: Profitability market; strategy; efficiency (search for similar items in EconPapers)
Date: 2009
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