Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245271 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2020 [Pages:] 1-15
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller over the sample period of 2014-2018. The study applies Jarque-Bera test, ADF test, Ljung-Box statistics and ARCH-LM test for testing normality of returns, stationarity of series, serial correlation and volatility clustering in returns and squared returns of selected cryptocurrencies. Further, the study adopts an extremely important category of martingale difference hypothesis (MDH), which uses non-linear methods of dependencies for identifying changing linear and non-linear dependence in the price movement of currencies. The results indicate that price movements with linear and nonlinear dependences varies over time. Our tests also reveal that Bitcoin, Monaro and Litecoin have the longest efficiency periods. While Steller shows the longest inefficient market period. In view of varying market conditions, the results indicate that different market periods have significant impact on prices fluctuations of cryptocurrencies. Therefore, our findings suggest implementing the adaptive market hypothesis (AMH) as predicting changes in cryptocurrency prices over time must consider the time-varying market conditions for efficient forecasting.
Subjects: 
Adaptive market hypothesis
digital currencies
market efficiency
JEL: 
G12
G14
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.