An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China
Xiao Li and
Finance Research Letters, 2019, vol. 31, issue C
Adaptive Market Hypothesis (AMH) claims that the degree of market efficiency is related to environmental factors characterizing market conditions. This paper examines the AMH through four calendar effects in China stock market. In particular, we employ subsample analysis and rolling window analysis as well as construct investment strategies based on calendar effects to determine whether they perform as AMH implies. The empirical findings show that both the four calendar effects’ performance and excess returns of the investment strategies vary from time to time. Generally speaking, the empirical results suggest that AMH gives a better explanation for the market dynamics in China stock market.
Keywords: Adaptive Market Hypothesis; Calendar effect; Investment strategy; China stock market (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307785
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().