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ADAPTIVE MARKETS HYPOTHESIS: EMPIRICAL EVIDENCE FROM MONTENEGRO EQUITY MARKET
Saša Popović
Ana Mugoša
Andrija Đurović
Sažetak
In this paper we examined adaptive markets
hypothesis (AMH) using three factors we assumed that
affect weak-form of market efficiency: observation
period, time horizon represented by rolling window
sizes and data aggregation level. We have analyzed
market value weighted index MONEX20, which is
proxy from Montenegro equity market, over 2004-
2011 period. Rolling window analysis with fixed
parameter in each window is employed to measure
the persistence of deviations from a random walk
hypothesis (RWH) over time. Actually, using rolling
sample approach we checked whether short-range
linear dependence is varying over time. This method
was applied on the first order serial autocorrelation
coefficients (AC1), as well as on runs test, since
evidence on non-normality properties of MONEX20
suggests using non-parametric test. The evidence was
found that all three factors impact degree of weakform
Montenegro equity market efficiency which has
serious consequences on profit opportunities over
time on this market.
Ključne riječi
Adaptive Markets Hypothesis; Weak-form of Efficient Market Hypothesis; Rolling analysis; Autocorrelation coefficient; Runs test; Montenegro
Hrčak ID:
109113
URI
Datum izdavanja:
1.10.2013.
Posjeta: 2.962 *