- Tytuł:
- The adaptive market hypothesis and the return predictability in the cryptocurrency markets
- Autorzy:
- Karasiński, Jacek
- Powiązania:
- https://bibliotekanauki.pl/articles/2192168.pdf
- Data publikacji:
- 2023-04-27
- Wydawca:
- Uniwersytet Ekonomiczny w Poznaniu
- Tematy:
-
cryptocurrency markets
adaptive market hypothesis
efficient market hypothesis
cryptocurrency return predictability
weak-form efficiency of cryptocurrency markets
martingale difference hypothesis - Opis:
- This study employs robust martingale diefrence hypothe sis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suefred some short periods of weak-form ineficien cy. The results obtained validate the adaptive market hy pothesis. Additionally, this study allowed the observation of some diefrences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form eficiency were identifed. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relation ship between market cap and predictability was observed. JEL codes: G14
- Źródło:
-
Economics and Business Review; 2023, 9, 1; 94-118
2392-1641 - Pojawia się w:
- Economics and Business Review
- Dostawca treści:
- Biblioteka Nauki
Artykuł