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Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market

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  • Emmanuel Numapau Gyamfi

Abstract

This study examines the return predictability of two indices – the GSEALSH index and the GSEFSII index on the Ghana stock market. We compare results from analyzing the return series between January 4, 2011 and August 28, 2015 using the generalized spectral test, the automatic portmanteau Box-Pierce test and the wild-bootstrapped automatic variance ratio test. A rolling window approach is used to track whether returns are predictable or not through time. It was observed that the GSEALSH index was more highly predictable than the GSEFSII index in all the three tests. The results obtained are consistent with the Adaptive Market Hypothesis.

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  • Emmanuel Numapau Gyamfi, 2018. "Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market," Journal of African Business, Taylor & Francis Journals, vol. 19(2), pages 195-209, April.
    • Handle: RePEc:taf:wjabxx:v:19:y:2018:i:2:p:195-209
    DOI: 10.1080/15228916.2018.1392838
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    Cited by:

    1. Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.
    2. 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.
    3. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.

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