Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market
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Dosyalar
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Univ Tehran
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study aimed to evaluate whether the efficiency of the cryptocurrency market varies over time according to the Adaptive Market Hypothesis. It investigated the varying cryptocurrency market efficiency by applying daily historical data to Bitcoin, Ethereum, Litecoin, Ripple, and Cardano. The conformity of cryptocurrencies to the normal distribution was examined by the Jarque-Bera test and their stationarity was tested by unit root tests. The cryptocurrency daily return predictability was measured using the Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests. Besides, the daily returns of cryptocurrencies were analyzed using the 500-days rolling window approach to capture the time-varying nature of the cryptocurrency market efficiency. Findings are consistent with the Adaptive Market Hypothesis and indicate that the cryptocurrency market efficiency varies over time. Besides, the cryptocurrency market efficiency varies and generally corresponds to positive or negative news/events.
Açıklama
Anahtar Kelimeler
adaptive market hypothesis, cryptocurrency, efficient market hypothesis
Kaynak
Iranian Journal of Management Studies
WoS Q Değeri
Q4
Scopus Q Değeri
N/A
Cilt
16
Sayı
1
