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On the evolution of cryptocurrency market efficiency
16 references·14 citing·33 second hop
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(1983)Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011)Multifractal analysis of financial markets: a review (2019)Forecasting Stock Market Prices Using Machine Learning and Deep Learning Models: A Systematic Review, Performance Analysis and Discussion of Implications (2023)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Théorie de la spéculation (1900)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Illiquidity and stock returns: cross-section and time-series effects (2002)The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)Information interdependence among energy, cryptocurrency and major commodity markets (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Return and volatility spillovers among cryptocurrencies (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE408 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 2018Liquidity and market efficiency in cryptocurrencies360 cited
  • 2018Price discovery of cryptocurrencies: Bitcoin and beyond326 cited
  • 2017Time-varying long-term memory in Bitcoin market296 cited
  • 2018Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets287 cited
  • 2018Adaptive market hypothesis and evolving predictability of bitcoin267 cited
  • 2018On Bitcoin markets (in)efficiency and its evolution198 cited
  • 2018Long Memory Interdependency and Inefficiency in Bitcoin Markets173 cited
  • 2019The adaptive market hypothesis in the high frequency cryptocurrency market140 cited

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  • 2003Testing the Martingale Difference Hypothesis108 cited
  • Cited by

    • 2022The resilience of cryptocurrency market efficiency to COVID-19 shock83 cited
    • 2021Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies60 cited
    • 2023The dynamics of market efficiency of major cryptocurrencies54 cited
    • 2021Efficiency in cryptocurrency markets: new evidence52 cited
    • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
    • 2024On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum42 cited
    • 2024Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes36 cited
    • 2020The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets35 cited
    • 2024The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models30 cited
    • 2022Outliers and Time-Varying Jumps in the Cryptocurrency Markets28 cited
    • 2023Fintech market efficiency: A multifractal detrended fluctuation analysis27 cited
    • 2024Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency26 cited
    • 2021The efficiency of CO2 market in the phase III EU ETS: analyzing in the context of a dynamic approach24 cited
    • 2022Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship23 cited