This paper analyses the behaviour of stock returns and calendar anomalies over a ten year period: 2007–2016 on the London Stock Exchange, through two major indices, the FTSE100 and FTSE250. The efficiency of the indices and the presence of calendar anomalies are investigated with parametric and non-parametric tests. The two main indices of the UK stock market undergo changes from states of dependency of returns to independence of returns and vice versa, but their behaviour is not concomitant. This study finds that financial markets in the UK can undergo changes from states of inefficiency moving to efficiency and vice versa in support of the Adaptive Market Hypothesis. This study also captures the inconstant and time varying behaviour of calendar anomalies and their occurrence. This again supports the Adaptive Market Hypothesis. Overall, it enables investors to get a better understanding of the behaviour of stock returns and to devise profitable investment strategies according to market conditions.

中文翻译：

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自适应市场假说的动态视角下伦敦证券交易所的股票收益和日历异常：十年期FTSE100和FTSE250指数研究

本文通过FTSE100和FTSE250这两个主要指数，分析了伦敦证券交易所2007年至2016年这十年期间的股票收益和日历异常行为。索引的效率和日历异常的存在通过参数和非参数测试进行了调查。英国股票市场的两个主要指数经历了从收益依赖状态到收益独立状态的变化，反之亦然，但是它们的行为并不同时发生。这项研究发现，英国的金融市场可能会从低效状态转变为效率，反之亦然，以支持适应性市场假说。这项研究还捕获了日历异常及其发生的时变行为。这再次支持了自适应市场假说。总体，