Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market

Document Type : Review article

Authors

1 Assistant Professor, Department of Business Administration, Faculty of Economics and Administrative Sciences, Hatay Mustafa Kemal University, Hatay, Turkey

2 Professor, Department of Business Administration, Faculty of Economics and Administrative Sciences, Hatay Mustafa Kemal University, Hatay, Turkey

Abstract

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.

Keywords

Main Subjects


Article Title [Persian]

فرضیه بازار انطباقی: شواهدی از بازار رمزارز

Authors [Persian]

  • یونس کارا اومِر 1
  • سونگول کَکیلّی آجاراوجی 2
1 گروه مدیریت بازرگانی، دانشکده اقتصاد و علوم مدیریت، دانشگاه هاتای مصطفی کمال، هاتای، ترکیه
2 گروه مدیریت بازرگانی، دانشکده اقتصاد و علوم مدیریت، دانشگاه هاتای مصطفی کمال، هاتای، ترکیه
Abstract [Persian]

این مطالعه به دنبال ارزیابی این نکته بود که آیا اثربخشی بازار رمزارز در طول زمان مطابق با فرضیه بازار انطباقی تغییر می کند یا خیر. به این منظور، اثربخشی متغیر بازار رمزارز از طریق بکارگیری داده های روزانه تاریخی مربوط به بیت کوین، اتریوم، لایت کوین، ریپل، و کاردانو مورد بررسی قرار گرفت. انطباق رمزارزها با توزیع نرمال با استفاده از تست جارک-برا و ایستایی شان با استفاده از تست های ریشه واحد بررسی شد. پیش بینی پذیری بازده روزانه رمزارز با استفاده از تست چندوجهی خودکار و تست نسبت واریانس خودکار مبتنی بر  بوت استرپ کنترل نشده اندازه گیری شد. به علاوه، بازده روزانه رمزارزها با استفاده از رویکرد پنجره رولی 500 روزه تحلیل شد تا ماهیت متغیر اثربخشی بازار رمز ارز در طول زمان مشخص شود. نتایج با فرضیه بازار انطباقی سازگار هستند و نشان می دهند که اثربخشی بازار رمزارز در طول زمان تغییر می کند. به علاوه، اثربخشی بازار رمزارز نسبت به اخبار/وقایع مثبت یا منفی تغییر کرده و معمولا با آنها متناسب است.

Keywords [Persian]

  • فرضیه بازار سازگار
  • رمزارز
  • فرضه بازار اثربخش
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