Context (archaeology)

Efficient-market hypothesis

Biology

Statistics

Chromatography

Stock market

Market efficiency

Computer security

Cryptocurrency

Archaeology

Economics

Data mining

Computer science

Market liquidity

Empirical research

Paleontology

Market microstructure

Database

Mathematics

Geography

Monetary economics

Econometrics

Horse

Financial economics

Measure (data warehouse)

Chemistry

Sample (material)

Finance

Order (exchange)

Applied Economics Letters

This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) 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.

On the evolution of cryptocurrency market efficiency