文章基本信息

标题：Stock returns and calendar anomalies on the London Stock Exchange in the dynamic perspective of the Adaptive Market Hypothesis: A study of FTSE100 & FTSE250 indices over a ten year period
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作者：Erni Sofia Murtini ; Destiana Adinda Putri
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2020
卷号：4
期号：1
页码：121-147
DOI：10.3934/QFE.2020006
语种：English
出版社：AIMS Press
摘要：This paper analyses the behaviour of stock returns and calendar anomalies over a ten year period: 2007Ƀ2016 on the London Stock Exchange, through two major indices, the FTSE100 and FTSE250. The efficiency of the indices and the presence of calendar anomalies are investigated with parametric and non-parametric tests. The two main indices of the UK stock market undergo changes from states of dependency of returns to independence of returns and vice versa, but their behaviour is not concomitant. This study finds that financial markets in the UK can undergo changes from states of inefficiency moving to efficiency and vice versa in support of the Adaptive Market Hypothesis. This study also captures the inconstant and time varying behaviour of calendar anomalies and their occurrence. This again supports the Adaptive Market Hypothesis. Overall, it enables investors to get a better understanding of the behaviour of stock returns and to devise profitable investment strategies according to market conditions.
关键词：London Stock Exchange;market efficiency;parametric and non-parametric tests;behavioural finance