Open AccessAdaptive Market Hypothesis: Evidence from three centuries of UK data
Author(s) -
Ali Almail,
Fahad Almudhaf
Publication year - 2017
Publication title -
economics and business letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.197
H-Index - 4
ISSN - 2254-4380
DOI - 10.17811/ebl.6.2.2017.48-53
Subject(s) - pound (networking) , economics , stock market , efficient market hypothesis , econometrics , currency , market efficiency , variance (accounting) , stock (firearms) , financial economics , monetary economics , computer science , geography , accounting , context (archaeology) , archaeology , world wide web
We examine the evolving efficiency of UK stock market and currency (British Pound) during the last three centuries. Using both Automatic Variance Ratio (AVR) and Automatic Portmanteau (AQ) tests, we find evidence of time-varying degree of efficiency which supports the Adaptive Markets Hypothesis (AMH).