ADAPTIVE MARKETS HYPOTHESIS AND THE BRIC SHARE MARKETS

• Authors: Árendáš Peter , Božena Chovancová
• Languages of publication: EN

Abstracts

EN

The efficient market theory is one of the most controversial economic theories of the last half-century. The market efficiency has been topic of various studies, but the results are mixed. Although some of the studies confirmed efficiency of a market, another studies often rejected it. As a result, the adaptive market hypothesis was formulated. It says that the ability of share prices to reflect all the available information changes over time. This paper analyses the development of weak-form market efficiency of BRIC share markets. It shows that although the BRIC share markets are weak-form inefficient in the long-term, there are some shorter time periods of weak-form efficiency that alternate with periods of weak-form inefficiency. It means that technical and fundamental analysis can be used on BRIC share markets to generate returns superior to returns of the market portfolio.

Keywords

EN

SHARE MARKET; BRIC; MARKET EFFICIENCY; ADAPTIVE MARKETS HYPOTHESIS; VARIANCE RATIO TEST

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2015
• Volume: 63
• Issue: 10
• Pages: 1003 – 1018

Contributors

author

Árendáš Peter

• University of Economics in Bratislava, Faculty of National Economy, Department of Banking and International Finance, Dolnozemská cesta 1, 852 35 Bratislava, Slovak Republic

author

Božena Chovancová