International Journal For Multidisciplinary Research

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Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange

Author(s) Maryam Siddique
Country Pakistan
Abstract In this study we empirically check the adaptive market hypothesis in Pakistan stock Market by measuring the association among present stock returns and past stock returns over the time of 2001 to 2020. We divided the weekly data of returns into subsamples of equal length 0f 3 years of seven samples and last sample with two years gap. For this purpose, we applied the five (linear and nonlinear) tests, in linear test Autocorrelation test, Variance ratio test, runs test and in nonlinear BDS independence test and Lagrange Multiplier test was applied to explicate that in what way the efficiency of market varies from time to time and whether their existence of any relationship between market condition and return predictability. Our results showed that efficiency of stock market fluctuatesamong episodic periods of dependency (inefficient condition) and independencies (efficient condition) in full and each subsamples thus it is conclude that PSX follow adaptive market and constant with AMH. Overall findings of the study concluded that AMH can better explain the stock return behavior then EMH. As the variation in market conditions can highly impress the trading activities and market efficiency so the investors can get the help from this study in making the investing decisions. It can be applied to practical setting such as asset allocation, investment consulting and risk management.
Keywords Efficient Market Hypothesis, Adaptive Market Hypothesis, Efficient Market, Inefficient Market, Pakistan Stock Exchange
Field Business Administration
Published In Volume 5, Issue 2, March-April 2023
Published On 2023-04-04
Cite This Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange - Maryam Siddique - IJFMR Volume 5, Issue 2, March-April 2023. DOI 10.36948/ijfmr.2023.v05i02.2096
DOI https://doi.org/10.36948/ijfmr.2023.v05i02.2096
Short DOI https://doi.org/gr4k52
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