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Autor
Karasiński Jacek (University of Warsaw)
Tytuł
The Adaptive Market Hypothesis and the Return Predictability in the Cryptocurrency Markets
Źródło
Economics and Business Review, 2023, vol. 9 (23), nr 1, s. 94-118, rys., tab., bibliogr. 49 poz.
Słowa kluczowe
Kryptowaluty, Stopa zwrotu, Kalkulacja stopy zwrotu
Cryptocurrencies, Rate of return, Rate of return calculation
Uwagi
Klasyfikacja JEL: G14
summ.
Abstrakt
This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suffered some short periods of weak-form inefficiency. The results obtained validate the adaptive market hypothesis. Additionally, this study allowed the observation of some differences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form efficiency were identified. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relationship between market cap and predictability was observed. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
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Cytowane przez
Pokaż
ISSN
2392-1641
Język
eng
URI / DOI
https://doi.org/10.18559/ebr.2023.1.4
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