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Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange

Majid Mirzaee Ghazani and Mansour Khalili Araghi

Research in International Business and Finance, 2014, vol. 32, issue C, 50-59

Abstract: This study evaluates the existence of the adaptive market hypothesis (AMH) as an evolutionary alternative to the efficient market hypothesis (EMH) by applying daily returns on the TEPIX index in the Tehran stock exchange (TSE) in Iran. The data span of daily returns is from 1999 to 2013. In this paper four different tests in the form of two distinguished classes (linear and nonlinear) have been used to study adaptive behavior of returns. The results that were obtained from linear (automatic variance ratio and automatic portmanteau) and nonlinear (generalized spectral and McLeod–Li) tests represent the oscillatory manner of returns about dependency and independency which corresponds with the adaptive market hypothesis.

Keywords: Adaptive market hypothesis; Evolution; Market efficiency; Nonlinear tests (search for similar items in EconPapers)
JEL-codes: G14 C12 G15 (search for similar items in EconPapers)
Date: 2014
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