Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices
Majid Mirzaee Ghazani and
Seyed Babak Ebrahimi
Finance Research Letters, 2019, vol. 30, issue C, 60-68
This paper examines the existence of the adaptive market hypothesis (AMH) as an evolutionary alternative to the efficient market hypothesis (EMH) by applying daily returns on the three benchmark crude oils. The data coverage of daily returns is from 2003 to 2018. The automatic portmanteau and generalized spectral tests is applied in this study. The results show that the Brent and the WTI oil markets possess the highest efficiency levels. In addition, the behavior of OPEC basket data represents that when we approaching toward longer window lengths (e.g. from 100 to 500-days); the degree of conformity with AMH decreases.
Keywords: Evolutionary; Adaptive market hypothesis; Weak-form efficiency; Crude oil prices (search for similar items in EconPapers)
JEL-codes: G14 G41 C12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:60-68
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