文章基本信息

标题：The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model
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作者：Adefemi A. Obalade ; Paul-Francois Muzindutsi
期刊名称：Comparative Economic Research
印刷版ISSN：1508-2008
出版年度：2019
卷号：22
期号：3
页码：145-162
DOI：10.2478/cer-2019-0028
出版社：Walter de Gruyter GmbH
摘要：In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market. A Markov Switching Model (MSM) was employed as the analytical technique. The results show that the DOW effect appears in one regime and disappears in another, in all markets, as rooted in the AMH. Lastly, all markets, except the Johannesburg Stock Exchange have a higher tendency to be in a bearish state than a bullish one. Our findings show that active investment management may yield profits for investors investing in most African markets during bearish conditions.
关键词：calendar effect ; AMH ; African stock markets ; Markov Switching Model ; G10 ; G14