%0 Journal Article
%T Adaptive Markets Hypothesis: Evidencefrom Asia-Pacific Financial Markets
%A Alexandru Todea
%A Maria Ulici
%A Simona Silaghi
%J Review of Finance and Banking
%D 2009
%I Bucharest Academy of Economic Studies
%X In this paper we investigate the profitability of the moving average strategyon six Asian capital markets considering the episodic character of linear and/or nonlineardependencies, the period under study being 1997-2008. For each market, the most profitablestrategy from 15000 alternatives is selected. The main conclusion is that profitability ofmoving average strategies is not constant in time; it is episodic showing when sub-periods oflinear and non-linear correlation appear. Thus, one can thus say that the degree of marketefficiency varies through time in a cyclical fashion over time and these statistical features arein line with those postulated by Adaptive Markets Hypothesis (AMH) of Lo (2004, 2005).
%K episodic dependencies
%K bicorrelation test
%K technical analysis
%K adaptive market hypothesis
%U http://www.rfb.ase.ro/articole/RFB4.pdf