Adaptive Market Hypothesis: Evidence From the Cryptocurrency Market

KARAÖMER Y., Acaravci S.

IRANIAN JOURNAL OF MANAGEMENT STUDIES, vol.16, no.1, pp.125-138, 2023 (ESCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 16 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.22059/ijms.2022.336833.674889
  • Journal Name: IRANIAN JOURNAL OF MANAGEMENT STUDIES
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, Directory of Open Access Journals
  • Page Numbers: pp.125-138
  • Keywords: adaptive market hypothesis, cryptocurrency, efficient market hypothesis
  • Hatay Mustafa Kemal University Affiliated: Yes

Abstract

This study aimed to evaluate whether the efficiency of the cryptocurrency market varies over time according to the Adaptive Market Hypothesis. It investigated the varying cryptocurrency market efficiency by applying daily historical data to Bitcoin, Ethereum, Litecoin, Ripple, and Cardano. The conformity of cryptocurrencies to the normal distribution was examined by the Jarque-Bera test and their stationarity was tested by unit root tests. The cryptocurrency daily return predictability was measured using the Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests. Besides, the daily returns of cryptocurrencies were analyzed using the 500-days rolling window approach to capture the time-varying nature of the cryptocurrency market efficiency. Findings are consistent with the Adaptive Market Hypothesis and indicate that the cryptocurrency market efficiency varies over time. Besides, the cryptocurrency market efficiency varies and generally corresponds to positive or negative news/events.