全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

Adaptive Markets Hypothesis: Evidencefrom Asia-Pacific Financial Markets

Keywords: episodic dependencies , bicorrelation test , technical analysis , adaptive market hypothesis

Full-Text   Cite this paper   Add to My Lib

Abstract:

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).

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133