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 G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (105)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28

DOI: 10.1016/j.econlet.2018.03.005

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