Journal
ECONOMICS LETTERS
Volume 167, Issue -, Pages 26-28Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2018.03.005
Keywords
Adaptive market hypothesis (AMH); Bitcoin; Martingale difference hypothesis
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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. (C) 2018 Elsevier B.V. All rights reserved.
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