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Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets

Author

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  • Alexandru Todea

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

  • Maria Ulici

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

  • Simona Silaghi

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

Abstract

In this paper we investigate the profitability of the moving average strategy on six Asian capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. For each market, the most profitable strategy from 15000 alternatives is selected. The main conclusion is that profitability of moving average strategies is not constant in time; it is episodic showing when sub-periods of linear and non-linear correlation appear. Thus, one can thus say that the degree of market efficiency varies through time in a cyclical fashion over time and these statistical features are in line with those postulated by Adaptive Markets Hypothesis (AMH) of Lo (2004, 2005).

Suggested Citation

  • Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
    • Handle: RePEc:rfb:journl:v:01:y:2009:i:1:p:007-013
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