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Adaptive Market Hypothesis and Cointegration: An Evidence of the Cryptocurrency Market

In: Smart Analytics, Artificial Intelligence and Sustainable Performance Management in a Global Digitalised Economy

Author

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  • Miklesh Prasad Yadav
  • Atul Kumar
  • Vidhi Tyagi

Abstract

Design/Methodology/Approach: This chapter applies tests associated with the adaptive market hypothesis (AMH) and Johansen cointegration test. AMH acknowledges the views of the efficient market hypothesis and behavioural finance approach. Purpose: Cryptocurrencies are considered a new asset class by multiasset portfolio managers. Hence, we examine the AMH and cointegration in the cryptocurrency market to know whether select cryptocurrencies can be diversified. Findings: We find that cryptocurrencies are efficient and there is a long-run relationship among constituent series, and there is no short-run causality derived from bitcoin, Ethereum and litecoin to bitcoin, while stellar and Dogecoin have short-run causality to bitcoin. Originality/Value: This chapter is different from the existing one as this is the first study in which the AMH and Johansen cointegration test are applied to check the efficiency and relationship of Bitcoin, Ethereum, and Monero, Stellar, litecoin and Dogecoin.

Suggested Citation

  • Miklesh Prasad Yadav & Atul Kumar & Vidhi Tyagi, 2023. "Adaptive Market Hypothesis and Cointegration: An Evidence of the Cryptocurrency Market," Contemporary Studies in Economic and Financial Analysis, in: Smart Analytics, Artificial Intelligence and Sustainable Performance Management in a Global Digitalised Economy, volume 110, pages 27-43, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-37592023000110a002
    DOI: 10.1108/S1569-37592023000110A002
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