On the Testing of Adaptive Markets Hypothesis Using Rolling Windows
| Authors | |
|---|---|
| Year of publication | 2024 |
| Type | Article in Periodical |
| Magazine / Source | APPLIED ECONOMICS LETTERS |
| MU Faculty or unit | |
| Citation | |
| Web | https://www.tandfonline.com/doi/full/10.1080/13504851.2024.2389341 |
| Doi | http://dx.doi.org/10.1080/13504851.2024.2389341 |
| Keywords | Adaptive markets hypothesis; rolling window; multiple comparison problem; efficient markets hypothesis |
| Description | 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. |
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