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Adaptive market hypothesis and evolving predictability of bitcoin

Sashikanta Khuntia and J.K. Pattanayak

Economics Letters, 2018, vol. 167, issue C, 26-28

Abstract: This study evaluates the adaptive market hypothesis (AMH) and evolving return predictability in bitcoin market. We use two robust methods in a rolling-window framework to capture time-varying linear and nonlinear dependence in bitcoin returns. We find that market efficiency evolves with time and validates the AMH in bitcoin market.

Keywords: Adaptive market hypothesis (AMH); Bitcoin; Martingale difference hypothesis (search for similar items in EconPapers)
JEL-codes: G01 G14 G12 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28