Abstract
This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil. The data coverage of daily returns was from August 2015 to April 2019. We applied two alternative tests to examine linear and nonlinear dependency, i.e., automatic portmanteau and generalized spectral tests. The analysis of observed results validated the adaptive market hypothesis (AMH) in all markets, but the degree of adaptability between the data was different. In this study, we also analyzed the existence of evolutionary behavior in the market. To achieve this goal, we checked the results by applying the rolling-window method with three different window lengths (50, 100, and 150 days) on the test statistics, which was consistent with the findings of AMH.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
