The adaptive market hypothesis and the return predictability in the cryptocurrency markets

This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets context adaptive market hypothesis. The were applied daily returns using rolling window method research period from May 1, 2013 September 30, 2022. results this suggest that majority examined cryptocurrencies unpredictable time. However, great part them also suffered some short periods weak-form inefficiency. obtained validate Additionally, allowed observation differences between cryptocurrencies. Also historical trends efficiency identified. might have decreased recent years no significant relationship cap and was observed.