Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2020 | vol. 64, nr 1 | 131-142

Article title

Testing the adaptive market hypothesis on the WIG Stock Index: 1994-2019

Authors

Content

Title variants

Testowanie hipotezy rynków adaptacyjnych dla indeksu giełdowego WIG: 1994-2019

Languages of publication

EN

Abstracts

EN
The adaptive market hypothesis (AMH) is gaining recognition in the world of science because it coherently and logically reconciles the opinions of representatives of the neoclassical school and of behaviourists. The article assesses the reasons for the application of this hypothesis in the context of the Polish stock market. The aim of the article is to examine the level of predictability of return rates of the main Polish stock exchange index. For this purpose, daily logarithmic return rates were applied from the WIG index from October 1994 to December 2019. Moreover, the occurrence between them of a linear dependence (an autocorrelation test) and non-linear dependence (BDS test) was verified for two-year rolling-window framework. The results obtained confirm the cyclical variability of the level of efficiency for the Polish stock market, which complies with the implications of the adaptive market hypothesis.
PL
Hipoteza rynków adaptacyjnych (AMH) ma coraz większe uznanie w świecie naukowym, gdyż w sposób spójny i logiczny godzi poglądy przedstawicieli szkoły neoklasycznej oraz behawiorystów. W artykule oceniono zasadność stosowania tej hipotezy w kontekście polskiego rynku akcji. Celem artykułu jest zbadanie poziomu przewidywalności stóp zwrotu głównego polskiego indeksu giełdowego. Wykorzystano dzienne logarytmiczne stopy zwrotu z indeksu WIG od października 1994 r. do grudnia 2019 r. i dla dwuletnich ruchomych podokresów zweryfikowano występowanie między nimi zależności liniowych (test autokorelacji) i nieliniowych (test BDS). Otrzymane wyniki potwierdzają cykliczną zmienność poziomu efektywności dla polskiego rynku akcji, co jest zgodne z implikacjami hipotezy rynków adaptacyjnych.

References

  • Belaire-Franch, J., and Contreras, D. (2002). How to compute the BDS test: A software comparison. Journal of Applied Econometrics, (17).
  • Brock, W., Dechert, D., Scheinkman, J., and LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15(3).
  • Chang, B., Ahmed, P., Ghumro, N., Bhayo, M-U-R. (2018). Are gold markets weak form efficient? Evidence from China, India and Russia. Sukkur IBA Journal Of Management and Business, 5(1).
  • Charles, A., Darné, O., Kim, J. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6).
  • Hill, J., Motegi, K. (2019). Testing the white noise hypothesis of stock returns. Economic Modelling, (76).
  • Kasolik, M. (2016). Weryfikacja wybranych zastosowań hipotezy rynku adaptacyjnego na rynkach finansowych. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 10(958).
  • Khuntia, S., and Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, (167).
  • Kim, J., Shamsuddin, A., Lim, K-P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. Journal of Empirical Finance, 18, 5.
  • Ku, S., and Seneta, E. (1996). Quenouille-type theorem on autocorrelations. Annals of the Institute of Statistical Mathematics, 48, 4.
  • Kumar, D. (2018). Market efficiency in Indian exchange rates: Adaptive market hypothesis. Theoretical Economics Letters, 8.
  • Lim, K-P., Luo, W., Kim, J. (2013). Are US stock index returns predictable? Evidence from automatic autocorrelation-based test. Applied Economics, 45, 8.
  • Lo, A. (2004). The adaptive markets hypothesis: Market efficiency from evolutionary perspective. Journal of Portfolio Management, 30(5).
  • Lo, A. (2005). Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis. Journal of Investment Consulting, 7(2).
  • Ndubuisi, P., and Okere, K. (2018). Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from the Nigerian capital market. Asian Journal of Economic Modelling, 6(2).
  • Noda, A. (2016). A test of the adaptive market hypothesis using a time-varying AR model in Japan. Finance Research Letters, 17.
  • Smith, G. (2011). The changing and relative efficiency of European emerging stock markets. The European Journal of Finance, 18(8).
  • Todea, A., Ulici, M., and Silaghi, S. (2009). Adaptive markets hypothesis: Evidence from Asia-Pacific financial markets. The Review of Finance and Banking, 1(1).

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-0a71a005-2a50-4ee0-a38b-6437b82cba07
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.