Testing the Adaptive Markets Hypothesis in the COVID-19 Process in Developed and Developing Countries

The aim of this study is to search for evidence of the existence of the Adaptive Markets Hypothesis in 33 stock market indices selected from 11 developed and developing countries. In particular, the behavior of the markets tested in the COVID-19 pandemic has been monitored. For this purpose, firstly Harvey et al. (2008) suggested Linearity test was applied. As a result of the linearity test, LS (2013) single break unit root tests and LS (2003) two break unit root tests were applied to the linear index data. ESTAR type CSR and tau (τ) unit root tests were applied to nonlinear index data. The findings obtained in the analysis results differ according to the tests performed. The common result reached as a result of the tests; The stock market indices selected as data do not contain a definite judgment according to a single test. Therefore, if we get the result of "APH valid" according to one test, but "not valid" as a result of the other test, it does not mean that the tests are not sufficient, but that they do not contain a definite judgment. Since the necessary condition for the existence of EPH depends on the ability to switch between the productivity period and the inefficiency periods, APH can be valid in every market today. Because markets that adapt to every new situation sooner or later have been the main feature of the globalizing economy