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首页> 外文期刊>Comparative Economic Research >The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model
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The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model

机译：自适应市场假设和非洲股票市场的一天效应：马尔可夫切换模型

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摘要

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market. A Markov Switching Model (MSM) was employed as the analytical technique. The results show that the DOW effect appears in one regime and disappears in another, in all markets, as rooted in the AMH. Lastly, all markets, except the Johannesburg Stock Exchange have a higher tendency to be in a bearish state than a bullish one. Our findings show that active investment management may yield profits for investors investing in most African markets during bearish conditions.
机译：符合自适应市场假设（AMH），本研究的目的是调查一周内（Dow）效应在不同的牛市和熊市条件下的行为如何，并审查可能性在每个市场的公牛或熊政权中。使用Markov切换模型（MSM）作为分析技术。结果表明，道琼斯效应在一个制度中出现，并在所有市场中都消失在另一个市场中，只要在AMH中植根。最后，除约翰内斯堡证券交易所外，所有市场都比看涨状态更高。我们的研究结果表明，积极的投资管理可能会使投资者在看跌条件下投资大多数非洲市场的投资利润。

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