The Adaptive Market Hypothesis：An empirical study on the UK stock market
This paper uses the FTSE 350 daily data and subsample method to detect the Adaptive Market Hypothesis (AMH) in the UK stock market. We performed a range of linear and nonlinear tests on sixteen two-yearly subsamples to capture the time-varying characteristic of market efficiency from 1987 to 2018. B...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2019
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| Online Access: | https://eprints.nottingham.ac.uk/57716/ |
| _version_ | 1848799497011855360 |
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| author | WANG, KAIXIN |
| author_facet | WANG, KAIXIN |
| author_sort | WANG, KAIXIN |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper uses the FTSE 350 daily data and subsample method to detect the Adaptive Market Hypothesis (AMH) in the UK stock market. We performed a range of linear and nonlinear tests on sixteen two-yearly subsamples to capture the time-varying characteristic of market efficiency from 1987 to 2018. Both linear and nonlinear test results provide evidence that the market efficiency is not an all-or-nothing condition, and stock returns experience predictable and unpredictable periods. In addition, we find there is a downward trend for the January effect in the UK stock market during the sample period. Meanwhile, the analysis result suggests that AMH based on its more realistic assumptions provides a better explanation of the January effect than the Efficient Market Hypothesis. |
| first_indexed | 2025-11-14T20:36:36Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-57716 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:36:36Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-577162022-11-30T16:52:11Z https://eprints.nottingham.ac.uk/57716/ The Adaptive Market Hypothesis：An empirical study on the UK stock market WANG, KAIXIN This paper uses the FTSE 350 daily data and subsample method to detect the Adaptive Market Hypothesis (AMH) in the UK stock market. We performed a range of linear and nonlinear tests on sixteen two-yearly subsamples to capture the time-varying characteristic of market efficiency from 1987 to 2018. Both linear and nonlinear test results provide evidence that the market efficiency is not an all-or-nothing condition, and stock returns experience predictable and unpredictable periods. In addition, we find there is a downward trend for the January effect in the UK stock market during the sample period. Meanwhile, the analysis result suggests that AMH based on its more realistic assumptions provides a better explanation of the January effect than the Efficient Market Hypothesis. 2019 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/57716/1/4341542%20N14031BUSI4020%20The%20Adaptive%20Market%20Hypothesis%EF%BC%9AAn%20empirical%20study%20on%20the%20UK%20stock%20market.pdf WANG, KAIXIN (2019) The Adaptive Market Hypothesis：An empirical study on the UK stock market. [Dissertation (University of Nottingham only)] Adaptive Market Hypothesis;Market efficiency; January effect |
| spellingShingle | Adaptive Market Hypothesis;Market efficiency; January effect WANG, KAIXIN The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title | The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title_full | The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title_fullStr | The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title_full_unstemmed | The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title_short | The Adaptive Market Hypothesis：An empirical study on the UK stock market |
| title_sort | adaptive market hypothesis：an empirical study on the uk stock market |
| topic | Adaptive Market Hypothesis;Market efficiency; January effect |
| url | https://eprints.nottingham.ac.uk/57716/ |