Article ID Journal Published Year Pages File Type
7348937 Economics Letters 2018 15 Pages PDF
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
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Adaptive market hypothesis and evolving predictability of bitcoin
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