Validating the adaptive market hypothesis in the Tunisian stock market

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Validating the adaptive market hypothesis in the Tunisian stock market

机译：验证突尼斯股票市场中的自适应市场假设

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We investigated how the adaptive market hypothesis (AMH) offers better explanations for stock return behaviour than the popular efficient market hypothesis (EMH) in the Tunisian Stock Market (TSE). Daily stock index returns from April 1999 to February 2018 were employed. We performed linear and non-linear predictability tests to test whether the TSE undergoes time-varying efficiency. Dummy regression models were performed to determine whether market conditions influence return predictability. Our findings show that the TSE witnessed the era of predictability and unpredictability. We found high return predictability during high volatility period but low predictability during the bull and bear conditions. We submit that the AMH is valid in the TSE.

机译：与突尼斯股票市场（TSE）中流行的有效市场假设（EMH）相比，我们调查了自适应市场假设（AMH）如何为股票收益行为提供更好的解释。使用了从1999年4月到2018年2月的每日股票指数收益。我们执行了线性和非线性可预测性测试，以测试TSE是否经历时变效率。进行了虚拟回归模型以确定市场状况是否会影响收益的可预测性。我们的发现表明，TSE见证了可预测性和不可预测性的时代。我们发现在高波动时期内收益率可预测性高，而在牛市和熊市条件下可预测性低。我们认为AMH在TSE中有效。

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《International Journal of Trade and Global Markets》 |2020年第1期|42-51|共10页
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School of Accounting Economics and Finance University of KwaZulu-Natal Westville Campus;

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正文语种 eng
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关键词
return predictability; AMH; adaptive market hypothesis; EMH; efficient market hypothesis; BDS test;

机译：回报可预测性;AMH;适应性市场假设;EMH;有效的市场假设;BDS测试;

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1. Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices [J] . Al-Khazali Osamah, Mirzaei Ali Journal of International Financial Markets, Institutions & Money . 2017,第nova期

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2. The momentum effect in the Tunisian stock market: Risk hypothesis vs. underreaction hypothesis [J] . Ramzi Boussaidi, Ghada Dridi Borsa Istanbul Review . 2020,第2期

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3. The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model [J] . Adefemi A. Obalade, Paul-Francois Muzindutsi Comparative Economic Research . 2019,第3期

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4. Efficient Market Hypothesis in Times of the Financial Crisis: Evidence from the Central European Stock Market [C] . PETR SEDA Recent advances in business administration . 2012

机译：金融危机时期的有效市场假说：来自中欧股票市场的证据
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India [O] . Gourishankar S Hiremath, Jyoti Kumari -1

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Validating the adaptive market hypothesis in the Tunisian stock market

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