On the evolution of cryptocurrency market efficiency

【Author】 Noda, Akihiko

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【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) the degree of market efficiency varies with time, (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.

【Keywords】Cryptocurrency Markets; adaptive Market Hypothesis; efficient Market Hypothesis; GLS-Based Time-Varying Model Approach; degree of Market Efficiency

【发表时间】2020 30-Mar

【收录时间】2022-01-02

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