Year: 2020
Type: article
Abstract: This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on the adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, unlike previous studies that used conventional methods. The empirical results show that (1) the degree of market efficiency varies with time in the markets, (2) Bitcoin’s market efficiency level is higher than that of Ethereum over most periods, and (3) a market with high market liquidity has been evolving. We conclude that the results support the AMH for the most established cryptocurrency market.
Source: Applied Economics Letters
Author: Akihiko Noda
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Awards: Quantitative analysis on integration and price formation of Tokyo and Osaka stock markets before the Second World War, A Study on the Relationship between Time-Varying Structure of Anomalies and Speculative Bubbles in International Stock Markets, Price formation and market management in commodity exchanges after World War I: Empirical research by using the Dojima Kome Shijo Monjo, Forecasting Exchange Rates using Time-Varying Econometric Models
OpenAlex ID: W3022216016