TY - JOUR
T1 - On the evolution of cryptocurrency market efficiency
AU - Noda, Akihiko
N1 - Funding Information:
The author would like to thank the Co-Editor, David Peel, an anonymous referee, Mikio Ito, Tatsuma Wada, and the conference participants at the 94th Annual Conference of the Western Economic Association International for their helpful comments and suggestions. The author is also grateful for the financial assistance provided by the Murata Science Foundation and the Japan Society for the Promotion of Science Grant in Aid for Scientific Research, under grant numbers 17K03809, 17K03863, 18K01734, and 19K13747. All data and programs used are available upon request.
Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2021
Y1 - 2021
N2 - 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) 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.
AB - 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) 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.
KW - Cryptocurrency Markets
KW - GLS-Based Time-Varying Model Approach
KW - adaptive Market Hypothesis
KW - degree of Market Efficiency
KW - efficient Market Hypothesis
UR - http://www.scopus.com/inward/record.url?scp=85084320176&partnerID=8YFLogxK
U2 - 10.1080/13504851.2020.1758617
DO - 10.1080/13504851.2020.1758617
M3 - Article
AN - SCOPUS:85084320176
VL - 28
SP - 433
EP - 439
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 6
ER -