Adaptive market hypothesis: An empirical analysis of the Wine Market

We test the nature of weak form informational efficiency present in wine market using daily return LIV-EX 50 index from 1/1/2010 to 12/6/2020. First, we employ a number statistical tests including variance ratio tests, for linear and non-linear dependence Hurst coefficient. The are applied on full dataset four non overlapping sub-samples equal length. provide mixed regarding efficiency. Evidence series was found. coefficient values confirm presence long run persistence market. Based evidence, possibility adaptive newly proposed Adaptive Index (AI) quantify degree information inefficiency at any instance. Our results that is periodically shifts between states inefficiency. found be relatively free Covid-19 induced shock safe haven property thus confirmed. Finally, impact various macroeconomic financial events identified by AI.