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Testning the Adaptive Market Hypothesis on the OMXS30 Stock Index: 1986-2014: Stock Return Predictability And Market Conditions
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2017 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

We evaluate the validity of the Adaptive Market Hypothesis (AMH) in a Swedish context by testing for stock return predictability on the OMXS30 stock index between 1986 and 2014 using daily returns and monthly two year moving subsamples. To our knowledge, this is the first study to evaluate the AMH in a Swedish context. Three tests for linear independence based on Lo and MacKinlay (1988) variance ratio test, namely the Chow and Denning joint test as well as Wright (2000) joint rank and sign tests are used. We also test for non-linear independence using the BDS test statistics. Presented in our findings is evidence of time-varying predictability where stock returns go through periods of return predictability and non-predictability. When evaluating the different market conditions (volatility, bull, bear, up, down and normal markets) we find that these different market conditions govern the degree of stock return predictability in different ways. Our findings support the AMH on the OMXS30 stock index and in contrast to previous research regarding market efficiency on the Swedish stock market, we do not find persistent stock return predictability over the short and long term. 

Place, publisher, year, edition, pages
2017. , 30 p.
Keyword [en]
Adaptive market hypothesis; stock return predictability; market conditions; linear independence; non-­linear independence; market efficiency
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-36577ISRN: JU-IHH-FÖA-2-20170521OAI: oai:DiVA.org:hj-36577DiVA: diva2:1118843
Subject / course
IHH, Business Administration
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Available from: 2017-08-07 Created: 2017-07-02 Last updated: 2017-08-07Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
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