Testing the adaptive efficiency of bitcoin

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dc.contributor.authorMaredi, Maromo
dc.date.accessioned2023-12-07T06:46:29Z
dc.date.available2023-12-07T06:46:29Z
dc.date.issued2022
dc.descriptionA dissertation submitted in fulfilment of the requirements for the degree of Master of Commerce to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, 2022
dc.description.abstractThis research aims to investigate an alternative view of market dynamics referred to as the Adaptive Markets Hypothesis which posits that an asset’s efficiency will change over time. As such, this research will test whether Bitcoin is time-varyingly efficient. This will be accomplished in three stages. Firstly, whether Bitcoin returns follow a random walk/martingale will be investigated. If they do, that means that they cannot be predicted, thereby providing evidence of the weak-form market efficiency. If they do not follow a random walk, however, the second phase of the investigation turns to whether they can be modelled. The first attempt models the current Bitcoin return as a function of its own lagged values, which is predicated the idea of all relevant information being reflected in historical returns. The inadequacy of this model in its description of the returns generating process, provides evidence that there is private information that historical returns do not reflect which impacts returns. To account for this, the returns generating process is thus modelled using both historical returns and exogenous lagged variables without need to specify the model’s functional form. If the model performs better in some periods than in others, it can be inferred thus that Bitcoin is timevaryingly efficient.
dc.description.librarianPC(2023)
dc.facultyFaculty of Commerce, Law and Management
dc.identifier.urihttps://hdl.handle.net/10539/37284
dc.language.isoen
dc.rights.holderUniversity of the Witwatersrand, Johannesburg
dc.schoolSchool of Economics and Finance
dc.subjectBitcoin
dc.subjectAdaptive Markets Hypothesis
dc.subjectMarket dynamics
dc.titleTesting the adaptive efficiency of bitcoin
dc.typeDissertation
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