Adaptive Market Hypothesis in ASEAN Exchanges: A Multi-Non-Linear Approach, Multifractal and Wavelet-Based Sample Entropy
Keywords:
Adaptive market hypothesis, Efficient market hypothesis, Multifractal detrended fluctuation analysis, Wavelet-based sample entropy, ASEAN exchangesAbstract
In this study, the adaptive market hypothesis (AMH) is tested in the context of six ASEAN exchanges by employing two nonlinear analytical methods: wavelet-based sample entropy (SampEn) and multifractal detrended fluctuation analysis (MF-DFA). Daily price indices (earliest availability–June 2025) are analyzed after STL preprocessing to focus on residual dynamics, obtained from the Bloomberg database, and employed. The results demonstrate that all markets exhibit distinct multifractal characteristics. Indonesia shows the highest maltifactual level (Δh=0.616); Vietnam displays the highest persistence (H(q=2)=0.629) but the lowest Δh (0.176); Singapore and the Philippines hover near random‑walk behavior. Rolling H and Δh highlight efficiency that changes with market states, aligning with AMH. The Hurst index and the entropy complexity values also change over time. These results are similar to those of other studies in the field (Niere, 2013; Yalamova, 2006; Phan & Pham, 2019). Practical implications: adopt adaptive allocation and risk controls tied to each market’s efficiency cycle; confirm signals with rolling, multi‑scale backtests; and, from a policy angle, strengthen liquidity and transparency, especially around macro shocks.
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