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Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data
16 references·15 citing·39 second hop
Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Calendar effects, market conditions and t…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…The Presidential Puzzle: Political Cycles and the Stock Market (2003)The Presidential Puzzle: Poli…GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)GARCH 101: The Use of ARCH/GA…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Stock market seasonality (1983)Stock market seasonalitySize-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …Naval disasters, world war two and the British stock market (2021)Naval disasters, world war tw…Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic (2021)Analysis of stock market effi…Turn-of-the-month effect in three major emerging countries (2020)Turn-of-the-month effect in t…Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market (2020)Does the Adaptive Market Hypo…Short-term momentum (almost) everywhere (2019)Short-term momentum (almost) …Predictability of precious metals and adaptive market hypothesis (2019)Predictability of precious me…Let's Call it Quits: Break‐Even Effects in the Decision to Stop Taking Risks (2019)Let's Call it Quits: Break‐Ev…Are individual investors irrational or adaptive to market dynamics? (2019)Are individual investors irra…A simple but powerful measure of market efficiency (2019)A simple but powerful measure…Seasonality in cryptocurrencies (2018)Seasonality in cryptocurrenci…An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China (2018)An empirical analysis of the …A stock market trading system based on foreign and domestic information (2018)A stock market trading system…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…How predictable are precious metal returns? (2016)How predictable are precious …How exactly do markets adapt? Evidence from the moving average rule in three developed markets (2015)How exactly do markets adapt?…Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)New frontiers for arch models (2002)Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,224 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 1987A monthly effect in stock returns720 cited
  • 2003The Presidential Puzzle: Political Cycles and the Stock Market597 cited
  • 1983Stock market seasonality573 cited

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  • 2021Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic134 cited
  • 2017Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices102 cited
  • 2019A simple but powerful measure of market efficiency89 cited
  • 2018Seasonality in cryptocurrencies77 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
  • 2015How exactly do markets adapt? Evidence from the moving average rule in three developed markets55 cited
  • 2020Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market44 cited
  • 2018A stock market trading system based on foreign and domestic information37 cited
  • 2019Short-term momentum (almost) everywhere36 cited
  • 2016How predictable are precious metal returns?33 cited
  • 2019Predictability of precious metals and adaptive market hypothesis30 cited
  • 2020Turn-of-the-month effect in three major emerging countries30 cited
  • 2021Naval disasters, world war two and the British stock market30 cited
  • 2019Let's Call it Quits: Break‐Even Effects in the Decision to Stop Taking Risks1 cited