On the Testing of Adaptive Markets Hypothesis Using Rolling Windows

Varování

Publikace nespadá pod Filozofickou fakultu, ale pod Ekonomicko-správní fakultu. Oficiální stránka publikace je na webu muni.cz.

Autoři	HŘEBAČKA Viktor
Rok publikování	2024
Druh	Článek v odborném periodiku
Časopis / Zdroj	APPLIED ECONOMICS LETTERS
Fakulta / Pracoviště MU	Ekonomicko-správní fakulta
Citace
www	https://www.tandfonline.com/doi/full/10.1080/13504851.2024.2389341
Doi	http://dx.doi.org/10.1080/13504851.2024.2389341
Klíčová slova	Adaptive markets hypothesis; rolling window; multiple comparison problem; efficient markets hypothesis
Popis	In this paper, we investigate the issue of multiple testing problem in the testing of Adaptive markets hypothesis via rolling window analysis. Using Monte Carlo simulation, we show that a significant number of previous findings could be attributed to type I error and that the evidence in favor of the hypothesis is weaker than it seems. Furthermore, we also recommend potential remedies for the issue, such as low rolling window length to time series length ratio.
Související projekty:	Evolution of market efficiency Evolution of market efficiency