From efficient markets to adaptive markets: Evidence from the French stock exchange

Abstract

This paper examines the degree of market efficiency of the French Stock Market and tries to check both the efficient market hypothesis (EMH) and the adaptative market hypothesis (AMH). We use a rolling variance ratio test approach in order to provide an overview of the efficiency behavior from 1988 to 2018. We find that our results are consistent with the AMH. Indeed, it seems that the French stock market presents successive periods of efficiency and inefficiency. Moreover, inefficiency periods coincide with major macroeconomics events.