From efficient markets to adaptive markets: Evidence from the French stock exchange

Christophe Boya

Research in International Business and Finance, 2019, vol. 49, issue C, 156-165

Abstract: This paper examines the degree of market efficiency of the French Stock Market and tries to check both the efficient market hypothesis (EMH) and the adaptative market hypothesis (AMH). We use a rolling variance ratio test approach in order to provide an overview of the efficiency behavior from 1988 to 2018. We find that our results are consistent with the AMH. Indeed, it seems that the French stock market presents successive periods of efficiency and inefficiency. Moreover, inefficiency periods coincide with major macroeconomics events.

Keywords: Adaptive markets; Efficient markets; Rolling variance ratio (search for similar items in EconPapers)
JEL-codes: C12 C14 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:49:y:2019:i:c:p:156-165

DOI: 10.1016/j.ribaf.2019.03.005

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