Urquhart, Andrew; McGroarty, Frank - In: International Review of Financial Analysis 35 (2014) C, pp. 154-166
In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...
