Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis

Financial Innovation - Tập 7 Số 1 - 2021
Majid Mirzaee Ghazani1, Mohammad Ali Jafari1
1Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran

Tóm tắt

AbstractThis study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil. The data coverage of daily returns was from August 2015 to April 2019. We applied two alternative tests to examine linear and nonlinear dependency, i.e., automatic portmanteau and generalized spectral tests. The analysis of observed results validated the adaptive market hypothesis (AMH) in all markets, but the degree of adaptability between the data was different. In this study, we also analyzed the existence of evolutionary behavior in the market. To achieve this goal, we checked the results by applying the rolling-window method with three different window lengths (50, 100, and 150 days) on the test statistics, which was consistent with the findings of AMH.

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