The illusion of inefficiency: ghost artefacts and neglected nonlinearity in G20 equities.

Λεπτομέρειες βιβλιογραφικής εγγραφής
Τίτλος:	The illusion of inefficiency: ghost artefacts and neglected nonlinearity in G20 equities.
Συγγραφείς:	Madhavan, Vinodh¹ (AUTHOR) vinodh.madhavan@hotmail.com
Πηγή:	Applied Economics Letters. Oct2026, p1-6. 6p. 1 Illustration.
Θεματικοί όροι:	Efficient market theory, Statistical hypothesis testing, False positive error, Electric filters, Calibration, Nonlinear theories, Group of Twenty countries
Εταιρία/Οντότητα:	Group of Twenty
Περίληψη:	Under the Adaptive Market Hypothesis, rolling-window BDS test rejections are often read as evidence of genuine, time-varying inefficiency. This study uses a computationally exhaustive framework to test that claim across 19 individual G20 equity markets and shows that most such rejections are instead statistical artefacts of suboptimal prewhitening and an uncalibrated significance threshold. Evaluating 108 Gaussian and non-Gaussian ARMA-GARCH permutations neutralizes volatility distortions, and calibrating the underlying test’s own averaged p-value corrects it to a formally valid threshold. Together, these two corrections revert fourteen of nineteen markets to weak-form efficiency. Monte Carlo simulations expose a severe trade-off. The expansive filters needed to eliminate false positives also degrade statistical power to detect genuine nonlinear-in-mean dynamics. The residual inefficiency that survives this filtering in the remaining five markets, identified via an i.i.d. bootstrap on standardized residuals, is therefore best read as a conservative lower bound rather than an absolute measure of inefficiency. Of these five, Canada’s classification is particularly difficult to separate from residual filter inadequacy, unlike Australia’s. Finally, first-moment persistence is more temporally unstable than second-moment persistence in 16 of 19 markets, a pattern that may reflect the indices’ own data-generating processes, the methodological pipeline’s design, or both. [ABSTRACT FROM AUTHOR]
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Βάση Δεδομένων:	Business Source Index

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Items	– Name: Title Label: Title Group: Ti Data: The illusion of inefficiency: ghost artefacts and neglected nonlinearity in G20 equities. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Madhavan%2C+Vinodh%22">Madhavan, Vinodh</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> vinodh.madhavan@hotmail.com</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Applied+Economics+Letters%22">Applied Economics Letters</searchLink>. Oct2026, p1-6. 6p. 1 Illustration. – Name: Subject Label: Subject Terms Group: Su Data: <searchLink fieldCode="DE" term="%22Efficient+market+theory%22">Efficient market theory</searchLink><br /><searchLink fieldCode="DE" term="%22Statistical+hypothesis+testing%22">Statistical hypothesis testing</searchLink><br /><searchLink fieldCode="DE" term="%22False+positive+error%22">False positive error</searchLink><br /><searchLink fieldCode="DE" term="%22Electric+filters%22">Electric filters</searchLink><br /><searchLink fieldCode="DE" term="%22Calibration%22">Calibration</searchLink><br /><searchLink fieldCode="DE" term="%22Nonlinear+theories%22">Nonlinear theories</searchLink><br /><searchLink fieldCode="DE" term="%22Group+of+Twenty+countries%22">Group of Twenty countries</searchLink> – Name: SubjectCompany Label: Company/Entity Group: Su Data: <searchLink fieldCode="DE" term="%22Group+of+Twenty%22">Group of Twenty</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: Under the Adaptive Market Hypothesis, rolling-window BDS test rejections are often read as evidence of genuine, time-varying inefficiency. This study uses a computationally exhaustive framework to test that claim across 19 individual G20 equity markets and shows that most such rejections are instead statistical artefacts of suboptimal prewhitening and an uncalibrated significance threshold. Evaluating 108 Gaussian and non-Gaussian ARMA-GARCH permutations neutralizes volatility distortions, and calibrating the underlying test’s own averaged <italic>p</italic>-value corrects it to a formally valid threshold. Together, these two corrections revert fourteen of nineteen markets to weak-form efficiency. Monte Carlo simulations expose a severe trade-off. The expansive filters needed to eliminate false positives also degrade statistical power to detect genuine nonlinear-in-mean dynamics. The residual inefficiency that survives this filtering in the remaining five markets, identified via an i.i.d. bootstrap on standardized residuals, is therefore best read as a conservative lower bound rather than an absolute measure of inefficiency. Of these five, Canada’s classification is particularly difficult to separate from residual filter inadequacy, unlike Australia’s. Finally, first-moment persistence is more temporally unstable than second-moment persistence in 16 of 19 markets, a pattern that may reflect the indices’ own data-generating processes, the methodological pipeline’s design, or both. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Applied Economics Letters is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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RecordInfo	BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1080/13504851.2026.2743296 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 6 StartPage: 1 Subjects: – SubjectFull: Efficient market theory Type: general – SubjectFull: Statistical hypothesis testing Type: general – SubjectFull: False positive error Type: general – SubjectFull: Electric filters Type: general – SubjectFull: Calibration Type: general – SubjectFull: Nonlinear theories Type: general – SubjectFull: Group of Twenty countries Type: general – SubjectFull: Group of Twenty Type: general Titles: – TitleFull: The illusion of inefficiency: ghost artefacts and neglected nonlinearity in G20 equities. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Madhavan, Vinodh IsPartOfRelationships: – BibEntity: Dates: – D: 04 M: 10 Text: Oct2026 Type: published Y: 2026 Identifiers: – Type: issn-print Value: 13504851 Titles: – TitleFull: Applied Economics Letters Type: main
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