This study examines whether the market efficiencies of major cryptocurrencies (e.g., Bitcoin , Ethereum, and Ripple) change over time based on the adaptive market hypothesis (AMH) of Lo (2004) . In particular, we measure the degree of market efficiency using Ito et al.'s (2014, 2016, 2017) generalized least squares-based time-varying model  . The empirical results show that (1) the degree of market efficiency varies with time in cryptocurrency markets, (2) the market efficiency level of Bitcoin is higher than that of the other markets over most periods, and (3) the market efficiency of cryptocurrencies has evolved . We conclude that the results support the AMH for the  established cryptocurrency market.
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) 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.
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market efficiencies of major cryptocurrencies (e.g., Bitcoin , Ethereum, and Ripple) change
efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve
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the
Lo's (2004)
D
of Lo (2004)
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Ito et al.'s (2014, 2016, 2017)
a
A
that does not depend on sample size, unlike previous studies that used conventional methods
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cryptocurrency
the
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market efficiency level of Bitcoin
degree of market efficiency varies with time, (2) Bitcoin's market efficiency level
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the other markets
Ethereum
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the market efficiency of cryptocurrencies has evolved
a market with high market liquidity has been evolving
A
most