Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

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

13 references·16 citing·47 second hop

FromToDepth

this work references cited by second hop

References

1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
1996Efficient Tests for an Autoregressive Unit Root5,637 cited
2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
2004The Adaptive Markets Hypothesis1,708 cited
1992Testing for parameter instability in linear models768 cited
2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE408 cited
2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data357 cited
2007Are Asian stock markets efficient? Evidence from new multiple variance ratio tests311 cited
2009An automatic Portmanteau test for serial correlation268 cited
2005Generalized spectral tests for the martingale difference hypothesis222 cited
1999Testing the random walk hypothesis for real exchange rates208 cited
2009Measuring the degree of time varying market inefficiency132 cited
2011Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests127 cited

Cited by

2016Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis91 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2019A simple but powerful measure of market efficiency89 cited

2020On the evolution of cryptocurrency market efficiency86 cited

2020Volatility persistence in cryptocurrency markets under structural breaks78 cited

2019Are individual investors irrational or adaptive to market dynamics?63 cited

2018An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China60 cited

2023The dynamics of market efficiency of major cryptocurrencies54 cited

2021Efficiency in cryptocurrency markets: new evidence52 cited

2021Time varying market efficiency in the Brent and WTI crude market44 cited

2020Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market44 cited

2024Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes36 cited

2019Predictability of precious metals and adaptive market hypothesis30 cited

2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature29 cited

2019Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market28 cited

2016Time-varying return predictability in South Asian equity markets26 cited

2020Adaptive market hypothesis and investor sentiments: global evidence23 cited