Kian-Ping Lim, Weiwei Luo and Jae H. Kim
Applied Economics, Taylor and Francis, 45(8), 953-962
Publication year: 2013


This article re-examines the evidence of return predictability for three major US stock indices using two recently developed data-driven tests, namely the automatic portmanteau Box–Pierce test and the wild bootstrapped automatic variance ratio test. In tracking the time variation of return predictability via rolling estimation window, we find that those periods with significant return autocorrelations can largely be associated with major exogenous events. Theoretically, the documented time varying nature of predictable patterns is consistent with the adaptive markets hypothesis.


Autocorrelation test; Variance ratio test; Adaptive markets hypothesis; Evolving return predictability; US stock market


Supplementary Materials

R Code Written by Jae Kim