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ArticleA test of the adaptive market hypothesis using a time-varying AR model in Japan

Akihiko Noda2016

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Articlegreen2016

A test of the adaptive market hypothesis using a time-varying AR model in Japan

106 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1970Efficient Capital Markets: A Review of Theory and Empirical Work 1996Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 2004The Adaptive Markets Hypothesis 1992Testing for parameter instability in linear models 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE 2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data 2007Are Asian stock markets efficient? Evidence from new multiple variance ratio tests

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2016Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis 2019A simple but powerful measure of market efficiency 2020On the evolution of cryptocurrency market efficiency 2020Volatility persistence in cryptocurrency markets under structural breaks 2019Are individual investors irrational or adaptive to market dynamics?

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Year2016

Typearticle

Published2016-01-27

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations106

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2016.01.004

openalex_workW1527151125

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2018

An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China

2023The dynamics of market efficiency of major cryptocurrencies

2021Efficiency in cryptocurrency markets: new evidence