Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market

  • Saša Popovića, Ana Mugošab, Andrija Đurovićc, Saša Popović, Ana Mugoša, Andrija Đurović
  • Published 2013

Abstract

In this paper we examined adaptive markets hypothesis (AMH) using three factors we assumed that affect weak-form of market efficiency: observation period, time horizon represented by rolling window sizes and data aggregation level. We have analyzed market value weighted index MONEX20, which is proxy from Montenegro equity market, over 20042011 period. Rolling window analysis with fixed parameter in each window is employed to measure the persistence of deviations from a random walk hypothesis (RWH) over time. Actually, using rolling sample approach we checked whether short-range linear dependence is varying over time. This method was applied on the first order serial autocorrelation coefficients (AC1), as well as on runs test, since evidence on non-normality properties of MONEX20 suggests using non-parametric test. The evidence was found that all three factors impact degree of weakform Montenegro equity market efficiency which has serious consequences on profit opportunities over time on this market. ARTICLE INFO Article data: Received: 20 February 2012 Accepted: 9 October 2012 JEL classification: C12, C14, G10, G14

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Cite this paper

@inproceedings{Popovia2013AdaptiveMH, title={Adaptive Markets Hypothesis: Empirical Evidence from Montenegro Equity Market}, author={Sa{\vs}a Popovi{\'c}a and Ana Mugo{\vs}ab and Andrija Đurovi{\'c}c and Sa{\vs}a Popovi{\'c} and Ana Mugo{\vs}a and Andrija Đurovi{\'c}}, year={2013} }