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Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests

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  1. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
  2. Ozkan, Oktay, 2021. "Impact of COVID-19 on stock market efficiency: Evidence from developed countries," Research in International Business and Finance, Elsevier, vol. 58(C).
  3. Amélie Charles & Olivier Darné & Jae H Kim, 2017. "Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices," Post-Print hal-01526483, HAL.
  4. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
  5. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
  6. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
  7. Noda, Akihiko, 2016. "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, vol. 17(C), pages 66-71.
  8. Fabio S. Dias & Gareth W. Peters, 2020. "A Non-parametric Test and Predictive Model for Signed Path Dependence," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 461-498, August.
  9. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 621-635, February.
  10. Ali Almail & Fahad Almudhaf, 2017. "Adaptive Market Hypothesis: Evidence from three centuries of UK data," Economics and Business Letters, Oviedo University Press, vol. 6(2), pages 48-53.
  11. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
  12. Verheyden, Tim & De Moor, Lieven & Van den Bossche, Filip, 2015. "Towards a new framework on efficient markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 294-308.
  13. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," International Economics, Elsevier, vol. 151(C), pages 100-112.
  14. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
  15. Md Lutfur Rahman & Mahbub Khan & Samuel A. Vigne & Gazi Salah Uddin, 2021. "Equity return predictability, its determinants, and profitable trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 162-186, January.
  16. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
  17. Siddique, Maryam, 2023. "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints 9b5dx, Center for Open Science.
  18. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
  19. Aneta Dyakova & Graham Smith, 2013. "The evolution of stock market predictability in Bulgaria," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 805-816, May.
  20. Dzung Phan Tran Trung & Hung Pham Quang, 2019. "Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market," JRFM, MDPI, vol. 12(2), pages 1-16, May.
  21. Ibarra-Valdez, C. & Alvarez, J. & Alvarez-Ramirez, J., 2016. "Randomness confidence bands of fractal scaling exponents for financial price returns," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 119-124.
  22. Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.
  23. Kenichi Hirayama & Akihiko Noda, 2019. "Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market, 1924-1943," Papers 1911.04059, arXiv.org, revised Dec 2022.
  24. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  25. Aneta Dyakova & Graham Smith, 2013. "Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1257-1271, August.
  26. Jian Zhou & Jin Man Lee, 2013. "Adaptive market hypothesis: evidence from the REIT market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1649-1662, November.
  27. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
  28. Sehrish Kayani & Usman Ayub & Imran Abbas Jadoon, 2019. "Adaptive Market Hypothesis and Artificial Neural Networks: Evidence from Pakistan," Global Regional Review, Humanity Only, vol. 4(2), pages 190-203, June.
  29. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
  30. Oktay Ozkan, 2020. "Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 34(2), pages 101-113.
  31. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
  32. Kinga Niemczak & Graham Smith, 2013. "Middle Eastern stock markets: absolute, evolving and relative efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 23(3), pages 181-198, February.
  33. Sashikanta Khuntia & J. K. Pattanayak, 2020. "Evolving Efficiency of Exchange Rate Movement: An Evidence from Indian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 21(4), pages 956-969, August.
  34. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
  35. Mushinada, Venkata Narasimha Chary, 2020. "Are individual investors irrational or adaptive to market dynamics?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
  36. Graham Smith & Aneta Dyakova, 2016. "The Relative Predictability of Stock Markets in the Americas," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 131-142, April.
  37. Ke Meng & Shouhao Li, 2021. "The adaptive market hypothesis and high frequency trading," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-19, December.
  38. Jan Jakub Szczygielski & Chimwemwe Chipeta, 2023. "Properties of returns and variance and the implications for time series modelling: Evidence from South Africa," Modern Finance, Modern Finance Institute, vol. 1(1), pages 35-55.
  39. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.
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