Juraj Dobrila University of Pula, Department of Economics and Tourism \u27Dr. Mijo Mirkovic\u27
Abstract
In this paper we examined adaptive markets
hypothesis (AMH) using three factors we assumed that
affect weak-form of market efficiency: observation
period, time horizon represented by rolling window
sizes and data aggregation level. We have analyzed
market value weighted index MONEX20, which is
proxy from Montenegro equity market, over 2004-
2011 period. Rolling window analysis with fixed
parameter in each window is employed to measure
the persistence of deviations from a random walk
hypothesis (RWH) over time. Actually, using rolling
sample approach we checked whether short-range
linear dependence is varying over time. This method
was applied on the first order serial autocorrelation
coefficients (AC1), as well as on runs test, since
evidence on non-normality properties of MONEX20
suggests using non-parametric test. The evidence was
found that all three factors impact degree of weakform
Montenegro equity market efficiency which has
serious consequences on profit opportunities over
time on this market.U ovom radu je ispitivana hipoteza o adaptivnosti tržišta kroz analizu tri faktora za koje smo
pretpostavili da imaju utjecaja na slabu formu efikasnosti tržišta: period promatranja, vremenski
horizont predstavljen dužinom pokretnog prozora i razina agregiranosti podataka. Analiza je
provedena na tržišno ponderiranom indeksu MONEX20 koji predstavlja proxy za crnogorsko
tržište akcija u periodu od 2004-2011. godine. Metoda pokretnih prozora s fiksnim parametrima
u svakom prozoru pojedinačno je primijenjena kako bi izmjerili odstupanja od hipoteze slučajnog
hoda tokom vremena. Zapravo, pomoću ove analize je ispitivano variranje kratkoročne linearne
ovisnosti prinosa iz prethodnog i tekućeg perioda. Metoda pokretnih prozora je primijenjena na
autokorelacijski koeficijent prvog reda (AC1) i na test znakova (neparametarski test), s obzirom
na to da serija podataka indeksa MONEX20 ne dolazi iz normalnog rasporeda. Analiza je dovela
do zaključka da sva tri faktora utječu na razinu slabe forme efikasnosti crnogorskog tržišta akcija,
što ima ozbiljne konsekvence na mogućnosti ostvarivanja profita tokom vremena na ovom tržištu