نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران
2 دانشیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
3 دانشجوی دکتری مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
The purpose of this paper is to examine the empirical validity of the Adaptive Market Hypothesis (AMH), which is suggested to resolve the controversy between proponents of the efficient market hypothesis and financial behavior school. This hypothesis is based on the principle that although inefficiencies in the financial markets stems from the irrational behavior of investors, when investors adapt themselves to the changing environment as part of an evolutionary process, this adaptability in the shape of switching regime returns the market to an efficient state. To test the empirical validity of this hypothesis, the logistic smooth transition autoregressive model (LSTAR), which is one of the regimes switching models, and statistical information for the period 1388-1398 based on the frequency of quarterly data for variables namely, index return, price-to-income and market-to-book ratio have been used. The results obtained from this study show that the return of the Tehran Stock Exchange index changes behavior in accordance with the adaptive hypothesis under efficient and inefficient regimes.
کلیدواژهها [English]