On the evolution of cryptocurrency market efficiency
On the evolution of cryptocurrency market efficiency
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DOI：
10.1080/13504851.2020.1758617
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发表时间：
2020-05-02
影响因子：
1.6
通讯作者：
Noda, Akihiko
中科院分区：
文献类型：
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作者：
Noda, Akihiko
本研究基于适应性市场假说 (AMH)，研究了加密货币市场（比特币和以太坊）的效率是否随着时间的推移而演变。特别是，我们使用基于广义最小二乘的时变模型来衡量市场效率程度，该模型不依赖于样本量，这与之前使用传统方法的研究不同。实证结果表明：（1）市场的市场效率程度随时间变化；（2）市场效率程度随时间变化；（2）比特币的市场效率水平在大部分时期都高于以太坊；（3）市场流动性高的市场一直在演化。我们的结论是，结果支持最成熟的加密货币市场的 AMH。
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on the adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, unlike previous studies that used conventional methods. The empirical results show that (1) the degree of market efficiency varies with time in the markets, (2) the degree of market efficiency varies with time, (2) Bitcoin's market efficiency level is higher than that of Ethereum over most periods, and (3) a market with high market liquidity has been evolving. We conclude that the results support the AMH for the most established cryptocurrency market.