IDEAS home Printed from https://ideas.repec.org/a/ids/ijtrgm/v13y2020i1p42-51.html
   My bibliography  Save this article

Validating the adaptive market hypothesis in the Tunisian stock market

Author

Listed:
  • Adefemi A. Obalade
  • Paul-Francois Muzindutsi

Abstract

We investigated how the adaptive market hypothesis (AMH) offers better explanations for stock return behaviour than the popular efficient market hypothesis (EMH) in the Tunisian Stock Market (TSE). Daily stock index returns from April 1999 to February 2018 were employed. We performed linear and non-linear predictability tests to test whether the TSE undergoes time-varying efficiency. Dummy regression models were performed to determine whether market conditions influence return predictability. Our findings show that the TSE witnessed the era of predictability and unpredictability. We found high return predictability during high volatility period but low predictability during the bull and bear conditions. We submit that the AMH is valid in the TSE.

Suggested Citation

  • Adefemi A. Obalade & Paul-Francois Muzindutsi, 2020. "Validating the adaptive market hypothesis in the Tunisian stock market," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 13(1), pages 42-51.
    • Handle: RePEc:ids:ijtrgm:v:13:y:2020:i:1:p:42-51
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=104906
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijtrgm:v:13:y:2020:i:1:p:42-51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=130 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.