This paper empirically investigates the Adaptive Market Hypothesis (AMH) in three of the most established stock markets in the world; the US, UK and Japanese markets using very long run data. Daily data is divided into five-yearly subsamples and subjected to linear and nonlinear tests to...

This article examines the impact of the introduction of the Euro currency on the market efficiency of 10 of the most developed European stock markets during the period 1988 to 2012. We use an autocorrelation test, a runs test, various formulations of the variance ratio test and the nonlinear BDS...

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...

This paper documents strong evidence for short term predictability of individual stocks in the London Stock Exchange. We find empirical evidence for price reversals after large price changes and price continuation after small price changes. Our results indicate that large companies seem to react...

This paper extends the literature on market reaction to extreme price changes by introducing an empirical model that allows the conditional mean and variance of returns to vary asymmetrically in response to price changes of all sizes. We provide evidence, from US, UK and Japanese markets, that...

This paper links and extends the time series and price innovation literature by introducing empirical models that allow the conditional mean and variance of returns to vary asymmetrically in response to price innovations of all sizes. There is strong evidence, from both the US and UK markets,...