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Adaptive market hypothesis and evolving predictability of bitcoin

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  • Khuntia, Sashikanta
  • Pattanayak, J.K.

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.

Suggested Citation

  • Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    • Handle: RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28
    DOI: 10.1016/j.econlet.2018.03.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Adaptive market hypothesis (AMH); Bitcoin; Martingale difference hypothesis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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