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An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China

Xiong Xiong, Yongqiang Meng, Xiao Li and Dehua Shen

Finance Research Letters, 2019, vol. 31, issue C

Abstract: 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)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307785

DOI: 10.1016/j.frl.2018.11.020

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