Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Eryılmaz, SERKAN; Zeren, Feyyaz; Yılmaz, Tayfun

doi:10.54821/uiecd.1568223

Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Eryılmaz S., Zeren F., Yılmaz T.

International Journal of Business and Economic Studies, cilt.7, sa.1, ss.70-80, 2025 (Scopus)

Yayın Türü: Makale / Tam Makale
Cilt numarası: 7 Sayı: 1
Basım Tarihi: 2025
Doi Numarası: 10.54821/uiecd.1568223
Dergi Adı: International Journal of Business and Economic Studies
Derginin Tarandığı İndeksler: Scopus
Sayfa Sayıları: ss.70-80
Maltepe Üniversitesi Adresli: Evet

Özet

In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024. As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets. Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.