Efficiency of markets has been much debated and theory evolved from the efficient market hypothes... more Efficiency of markets has been much debated and theory evolved from the efficient market hypothesis (EMH) in its three forms to the adaptive market hypothesis (AMH). We study the US technology sector, finding that stocks traded inefficiently during the financial crisis and rejecting the conventional all-or-nothing EMH in favour of the AMH. We also analyse Bitcoin, rejecting a move-to-efficiency as suggested by EMH literature and showing support for the AMH. Finally, we apply an original Double Runs Test to high-frequency Bitcoin prices to develop the notion of sticky efficiency and show that it exists in the Bitcoin market.
Efficiency of markets has been much debated and theory evolved from the efficient market hypothes... more Efficiency of markets has been much debated and theory evolved from the efficient market hypothesis (EMH) in its three forms to the adaptive market hypothesis (AMH). We study the US technology sector, finding that stocks traded inefficiently during the financial crisis and rejecting the conventional all-or-nothing EMH in favour of the AMH. We also analyse Bitcoin, rejecting a move-to-efficiency as suggested by EMH literature and showing support for the AMH. Finally, we apply an original Double Runs Test to high-frequency Bitcoin prices to develop the notion of sticky efficiency and show that it exists in the Bitcoin market.
Uploads
Papers by Daniel Kornum