On the evolution of cryptocurrency market efficiency

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10 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)433-439
Number of pages7
JournalApplied Economics Letters
Issue number6
Publication statusPublished - 2021


  • Cryptocurrency Markets
  • GLS-Based Time-Varying Model Approach
  • adaptive Market Hypothesis
  • degree of Market Efficiency
  • efficient Market Hypothesis


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