Adaptive market hypothesis: An empirical analysis of time –varying market efficiency of cryptocurrencies

Khursheed, Ambreen; Naeem, Muhammad; Ahmed, Sheraz; Mustafa, Faisal

doi:10.1080/23322039.2020.1719574

Cited by 19 publications

(19 citation statements)

References 37 publications

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“…Further, we want to test a complex relationship in this study, and GAM is one of the most suitable methods to test highly complex nonlinear relationships along with a huge number of complex potential predictors. Past studies highlighted the significance of using robust statistical methods in empirical studies (Mustafa et al 2018;Nasir et al 2020;Khursheed et al 2020aKhursheed et al , 2020b. Therefore, we applied GAM with a quasi-Poisson link function based on its significance in testing highly complicated relationships (Chen et al 2017a(Chen et al , 2017bRavindra et al 2019).…”

Section: Methodsmentioning

confidence: 99%

Investigating the roles of meteorological factors in COVID-19 transmission in Northern Italy

Khursheed

Mustafa

Akhtar

2021

Environ Sci Pollut Res

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The novel COVID-19 is a highly invasive, pathogenic, and transmittable disease that has stressed the health care sector and hampered global development. Information of other viral respiratory diseases indicates that COVID-19 transmission could be affected by varying weather conditions; however, the impact of meteorological factors on the COVID-19 death counts remains unexplored. By investigating the impact of meteorological factors (absolute humidity, relative humidity, and temperature), this study will contribute both theoretically and practically to the concerned domain of pandemic management to be better prepared to control the spread of the disease. For this study, data is collected from 23 February to 31 March 2020 for Milan, Northern Italy, one of the badly hit regions by COVID-19. The generalized additive model (GAM) is applied, and a nonlinear relationship is examined with penalized spline methods. A sensitivity analysis is conducted for the verification of model results. The results reveal that temperature, relative humidity, and absolute humidity have a significant but negative relationship with the COVID-19 mortality rate. Therefore, it is possible to postulate that cool and dry environmental conditions promote virus transmission, leading to an increase in COVID-19 death counts. The results may facilitate health care policymakers in developing and implementing effective control measures in a timely and efficient way.

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Section: Methodsmentioning

confidence: 99%

Investigating the roles of meteorological factors in COVID-19 transmission in Northern Italy

Khursheed

Mustafa

Akhtar

2021

Environ Sci Pollut Res

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“…Numerous previous studies have focused on market efficiency testing several versions of the EMH. Some focus on market efficiency in the energy markets (Khediri & Charfeddine, 2015;Ghazani & Ebrahimi, 2019), bond markets (Charfeddine et al, 2018), stock markets (Alvarez-Ramirez et al, 2012;Urquhart & Hudson, 2013;Hiremath & Kumari, 2014;Rodriguez et al, 2014;Xiong et al, 2019), commodities markets (Shahid et al, 2019a), cryptocurrencies (Khursheed et al, 2020) and foreign exchange markets (Charles et al, 2012) within the framework of AMH.…”

Section: A Literature Reviewmentioning

confidence: 99%

“…Their findings suggest that the return predictability of foreign exchange rates varies over time depending on market conditions. Khursheed et al (2020) examined the AMH in cryptocurrency markets (such as bitcoin, Monaro, litecoin, and steller) using generalized spectral, Dominguez-Lobato, and the automatic portmanteau test for the period of 2014-2018 and concluded that the predictability varies over time.…”

Section: A Literature Reviewmentioning

confidence: 99%

Global islami pay piyasalarinda adaptif piyasa hipotezinin test edilmesi: markov-switching adf testi

Buğan

Çevik

et al. 2021

Bilimname

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Although market efficiency has been extensively examined in the literature, the studies generally focus on conventional stock markets. Since market efficiency is related to a well-functioning market, it is of great importance for the efficient allocation of resources and also providing sustainable economic growth. Market efficiency is not only important for conventional stock markets but also for the Islamic stock market as the Islamic stock markets are gaining prominence. An increase in the scope of Islamic markets worldwide creates the motivation for investigating the efficiency of Islamic stock markets. Hence there is a growing interest in Islamic stock markets. With a limited number of studies that analyze the efficient market hypothesis in Islamic stock markets, this paper aims to examine market efficiency in the global Islamic stock markets via Markov-Switching Augmented Dickey-Fuller (MS-ADF) test. The linear unit root test result shows that the global Islamic stock market indices exhibit random walk properties that are consistent with the Efficient Market Hypothesis. On the other hand, nonlinear test results suggest global Islamic stock markets exhibit twostate regime-switching characteristics. The MS-ADF test results indicate that the world and developed Islamic stock markets are stationary only in the high volatility regime and this finding supports the Adaptive Market Hypothesis. However, the emerging Islamic stock market is found to be stationary in both regimes that are contradictory for weak-form efficiency.

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“…This also supports the EMH and also encourages researchers to study the same effect on other CCYs. Khursheed, Naeem, Ahmed, and Mustafa (2020) studied the time varying market efficiency with relation to AMH. The paper uses three different methods including generalized spectral, automatic portmanteau and Dominguez-Lobato tests.…”

Section: Adaptive Market Hypothesesmentioning

confidence: 99%

Cryptocurrencies and Finance Theories

AbdulBasith¹,

Elgammal²,

Abuzayed³

2021

APMAJ

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Cryptocurrency (CCY) as a new key player in the currency system that has drawn the attention of scholars to examine its influence, relations and the opportunities that it may provide. However, a financial theoretical framework to connect CCY with financial theory is missing. This paper fills this gap by providing a review for the theoretical framework introduced in the literature to position CCY in investment and finance theories. This is done by studying the CCY literature and providing a critical feedback on the overall contributions in the area and possible venues for improvement. We report a need for a long-term analysis for CCY as this asset class is fairly new and sufficient data may not be available. Moreover, a better connection and linking with finance theories is required as it is significantly deficient. The promising potential of blockchain/ CCY stresses the need for interdisciplinary research including business, legal and information technology disciplines. In addition, the Covid-19 pandemic opens the door for further research to investigate the role of CCY as a hedge in the times of crises. Keywords: digital ledger technology, cryptocurrency bitcoin, finance theory, investment, fintech

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Adaptive market hypothesis: An empirical analysis of time –varying market efficiency of cryptocurrencies

Cited by 19 publications

References 37 publications

Investigating the roles of meteorological factors in COVID-19 transmission in Northern Italy

Investigating the roles of meteorological factors in COVID-19 transmission in Northern Italy

Global islami pay piyasalarinda adaptif piyasa hipotezinin test edilmesi: markov-switching adf testi

Cryptocurrencies and Finance Theories

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