Financial Crises and Adaptive Market Hypothesis: An Evidence from International Commodities traded at New York Stock Exchange

Authors

  • Muhammad Naeem Shahid PhD (Finance), Assistant Professor, Chinot Sub Campus, Government College University, Faisalabad, Pakistan
  • Khalid Latif PhD (Finance) Assistant Professor, College of Commerce, Government College University, Faisalabad, Pakistan
  • Ghulam Mujtaba Chaudhary PhD (Finance), Assistant Professor, University of Kotli, Azad Jammu and Kashmir, Pakistan
  • Shahid Adil PhD (Economics) Director/Additional Secretary, Punjab Economic Research Institute (PERI), Planning and Development Board, Government of the Punjab, Lahore, Pakistan

DOI:

https://doi.org/10.47067/reads.v6i1.185

Keywords:

AMH, Commodities, NYSE, Linear Prediction, Non-linear Prediction, Crisis

Abstract

This study evaluates the varying degree of predictability of commodities return through empirical analysis of AMH (Adaptive Market Hypothesis). We divide daily returns data (from 1996 to 2013) of commodities indices (Gold, Metal, Oil& Silver) into different crisis periods. We subject all the subsamples to linear/nonlinear tests to reveal how market efficiency (independency of returns) has behaved over time. All the linear (except variance ratio) and nonlinear tests are evident that commodity indices returns have been predictable (dependent) in some crisis periods while unpredictable (dependence) in the others thus consistent with the implication of AMH. Therefore, commodities markets are adaptive markets. The findings suggest the behavior of commodities’ markets is best explained by AMH than conventional/traditional EMH (Efficient Market Hypothesis).

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Published

2020-09-30

How to Cite

Shahid, M. N. ., Latif, K. ., Chaudhary, G. M. ., & Adil, S. . (2020). Financial Crises and Adaptive Market Hypothesis: An Evidence from International Commodities traded at New York Stock Exchange. Review of Economics and Development Studies, 6(1), 67-81. https://doi.org/10.47067/reads.v6i1.185