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Efficient or adaptive markets? Evidence from major stock markets using very long run historic data
16 references·16 citing·28 second hopsampled
Efficient or adaptive markets? Evidence from major stock markets using very long run historic data (2013)Efficient or adaptive markets? Evidence f…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011)Stock return predictability a…A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets (2006)A comparison of variance rati…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…A test for independence based on the correlation dimension (1996)A test for independence based…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis (2022)Cue the volatility spillover …Impact of COVID-19 on stock market efficiency: Evidence from developed countries (2021)Impact of COVID-19 on stock m…Volatility persistence in cryptocurrency markets under structural breaks (2020)Volatility persistence in cry…From efficient markets to adaptive markets: Evidence from the French stock exchange (2019)From efficient markets to ada…A simple but powerful measure of market efficiency (2019)A simple but powerful measure…Leveraging social media news to predict stock index movement using RNN-boost (2018)Leveraging social media news …Forecasting stock market index daily direction: A Bayesian Network approach (2018)Forecasting stock market inde…Web Media and Stock Markets : A Survey and Future Directions from a Big Data Perspective (2017)Web Media and Stock Markets :…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…Forecasting price movements using technical indicators: Investigating the impact of varying input window length (2017)Forecasting price movements u…A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices (2017)A multifractal detrended fluc…Behavioural finance perspectives on Malaysian stock market efficiency (2016)Behavioural finance perspecti…Are stock markets really efficient? Evidence of the adaptive market hypothesis (2016)Are stock markets really effi…Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India (2014)Stock returns predictability …Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange (2014)Evaluation of the adaptive ma…Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Calendar effects, market cond…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data

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357 cited
  • 2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets224 cited
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    • 2021Impact of COVID-19 on stock market efficiency: Evidence from developed countries167 cited
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    • 2018Forecasting stock market index daily direction: A Bayesian Network approach113 cited
    • 2018Leveraging social media news to predict stock index movement using RNN-boost113 cited
    • 2017Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices102 cited
    • 2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis102 cited
    • 2014Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange91 cited
    • 2019A simple but powerful measure of market efficiency89 cited
    • 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices80 cited
    • 2020Volatility persistence in cryptocurrency markets under structural breaks78 cited
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    • 2016Behavioural finance perspectives on Malaysian stock market efficiency73 cited
    • 2019From efficient markets to adaptive markets: Evidence from the French stock exchange65 cited