On the Testing of Adaptive Markets Hypothesis Using Rolling Windows

HŘEBAČKA, Viktor. On the Testing of Adaptive Markets Hypothesis Using Rolling Windows. APPLIED ECONOMICS LETTERS. ENGLAND: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2024. ISSN 1350-4851. Available from: https://dx.doi.org/10.1080/13504851.2024.2389341.

Basic information

• Original name: On the Testing of Adaptive Markets Hypothesis Using Rolling Windows
• Authors: HŘEBAČKA, Viktor.
• Edition: APPLIED ECONOMICS LETTERS, ENGLAND, ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2024, 1350-4851.

Other information

• Original language: English
• Type of outcome: Article in a journal
• Confidentiality degree: is not subject to a state or trade secret
• WWW: URL
• Impact factor: Impact factor: 1.600 in 2022
• Organization unit: Faculty of Economics and Administration
• Doi: http://dx.doi.org/10.1080/13504851.2024.2389341
• UT WoS: 001293250100001
• Keywords in English: Adaptive markets hypothesis; rolling window; multiple comparison problem; efficient markets hypothesis
• Tags: International impact, Reviewed

Abstract

In this paper, we investigate the issue of multiple testing problem in the testing of Adaptive markets hypothesis via rolling window analysis. Using Monte Carlo simulation, we show that a significant number of previous findings could be attributed to type I error and that the evidence in favor of the hypothesis is weaker than it seems. Furthermore, we also recommend potential remedies for the issue, such as low rolling window length to time series length ratio.

Links

• MUNI/A/1303/2022, interní kód MU: Name: Evolution of market efficiency

Investor: Masaryk University