Adaptive Market Hypothesis: Evidence from three centuries of UK data

Ali Almail, Fahad Almudhaf

Abstract


We examine the evolving efficiency of UK stock market and currency (British Pound) during the last three centuries. Using both Automatic Variance Ratio (AVR) and Automatic Portmanteau (AQ) tests, we find evidence of time-varying degree of efficiency which supports the Adaptive Markets Hypothesis (AMH).


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DOI: https://doi.org/10.17811/ebl.6.2.2017.48-53

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ISSN: 2254-4380