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

References

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Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
Volume 16, Issue 1
January 2023
Pages 125-138

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