{"id":"https://openalex.org/W3022216016","doi":"https://doi.org/10.1080/13504851.2020.1758617","title":"On the evolution of cryptocurrency market efficiency","display_name":"On the evolution of cryptocurrency market efficiency","publication_year":2020,"publication_date":"2020-05-03","ids":{"openalex":"https://openalex.org/W3022216016","doi":"https://doi.org/10.1080/13504851.2020.1758617","mag":"3022216016"},"language":"en","primary_location":{"id":"doi:10.1080/13504851.2020.1758617","doi":"https://doi.org/10.1080/13504851.2020.1758617","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504851.2020.1758617","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1904.09403","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086521112","display_name":"Akihiko Noda","orcid":"https://orcid.org/0000-0001-8073-8686","observed_orcids":["https://orcid.org/0000-0001-8073-8686"]},"institutions":[{"id":"https://openalex.org/I168356945","display_name":"Kyoto Sangyo University","ror":"https://ror.org/05t70xh16","country_code":"JP","type":"education","lineage":["https://openalex.org/I168356945"]},{"id":"https://openalex.org/I203951103","display_name":"Keio University","ror":"https://ror.org/02kn6nx58","country_code":"JP","type":"education","lineage":["https://openalex.org/I203951103"]},{"id":"https://openalex.org/I4405287047","display_name":"Keio Economic Observatory","ror":"https://ror.org/03z276v09","country_code":"JP","type":"facility","lineage":["https://openalex.org/I203951103","https://openalex.org/I4405287047"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Akihiko Noda","raw_affiliation_strings":["Faculty of Economics, Kyoto Sangyo University, Kyoto, Japan","Keio Economic Observatory, Keio University, Tokyo, Japan"],"raw_orcid":"https://orcid.org/0000-0001-8073-8686","affiliations":[{"raw_affiliation_string":"Faculty of Economics, Kyoto Sangyo University, Kyoto, Japan","institution_ids":["https://openalex.org/I168356945"]},{"raw_affiliation_string":"Keio Economic Observatory, Keio University, Tokyo, Japan","institution_ids":["https://openalex.org/I203951103","https://openalex.org/I4405287047"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5086521112"],"corresponding_institution_ids":["https://openalex.org/I168356945","https://openalex.org/I203951103","https://openalex.org/I4405287047"],"apc_list":null,"apc_paid":null,"fwci":11.7,"has_fulltext":false,"cited_by_count":86,"citation_normalized_percentile":{"value":0.98666377,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":100},"biblio":{"volume":"28","issue":"6","first_page":"433","last_page":"439"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency-market","display_name":"cryptocurrency market","score":0.8220000267028809},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.9779999852180481},{"id":"https://openalex.org/keywords/adaptive-market-hypothesis","display_name":"adaptive market hypothesis","score":0.8550000190734863},{"id":"https://openalex.org/keywords/bitcoin","display_name":"Bitcoin","score":0.9480000138282776},{"id":"https://openalex.org/keywords/ethereum","display_name":"Ethereum","score":1.0},{"id":"https://openalex.org/keywords/time-varying-efficiency","display_name":"time-varying efficiency","score":0.9430000185966492},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"market liquidity","score":0.8899999856948853},{"id":"https://openalex.org/keywords/generalized-least-squares","display_name":"generalized least squares","score":0.8859999775886536}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.8047000169754028},{"id":"https://openalex.org/C2985330422","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Market efficiency","level":2,"score":0.6974999904632568},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6395000219345093},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5864999890327454},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5770000219345093},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.5450999736785889},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5277000069618225},{"id":"https://openalex.org/C29368100","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Efficient-market hypothesis","level":4,"score":0.526199996471405},{"id":"https://openalex.org/C120936955","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical research","level":2,"score":0.4754999876022339},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.3952000141143799},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3578999936580658},{"id":"https://openalex.org/C2775997480","wikidata":"https://www.wikidata.org/wiki/Q586277","display_name":"Degree (music)","level":2,"score":0.33649998903274536},{"id":"https://openalex.org/C166052673","wikidata":"https://www.wikidata.org/wiki/Q83021","display_name":"Empirical evidence","level":2,"score":0.3091999888420105},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3075999915599823},{"id":"https://openalex.org/C109332788","wikidata":"https://www.wikidata.org/wiki/Q615445","display_name":"Economic efficiency","level":2,"score":0.29249998927116394},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.28929999470710754},{"id":"https://openalex.org/C3020318244","wikidata":"https://www.wikidata.org/wiki/Q4812187","display_name":"Large sample","level":2,"score":0.2676999866962433},{"id":"https://openalex.org/C64112148","wikidata":"https://www.wikidata.org/wiki/Q160151","display_name":"Market price","level":2,"score":0.26669999957084656},{"id":"https://openalex.org/C11644782","wikidata":"https://www.wikidata.org/wiki/Q15401790","display_name":"Cost efficiency","level":2,"score":0.2648000121116638},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.25690001249313354},{"id":"https://openalex.org/C17648541","wikidata":"https://www.wikidata.org/wiki/Q2265984","display_name":"Efficiency","level":3,"score":0.25450000166893005}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/13504851.2020.1758617","doi":"https://doi.org/10.1080/13504851.2020.1758617","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504851.2020.1758617","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1904.09403","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1904.09403","pdf_url":"https://arxiv.org/pdf/1904.09403","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:taf:apeclt:v:28:y:2021:i:6:p:433-439","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/13504851.2020.1758617","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1904.09403","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1904.09403","pdf_url":"https://arxiv.org/pdf/1904.09403","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G158436868","display_name":"Quantitative analysis on integration and price formation of Tokyo and Osaka stock markets before the Second World War","funder_award_id":"18K01734","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G8533825421","display_name":"A Study on the Relationship between Time-Varying Structure of Anomalies and Speculative Bubbles in International Stock Markets","funder_award_id":"19K13747","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G8914351322","display_name":"Price formation and market management in commodity exchanges after World War I: Empirical research by using the Dojima Kome Shijo Monjo","funder_award_id":"17K03863","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G92161512","display_name":"Forecasting Exchange Rates using Time-Varying Econometric Models","funder_award_id":"17K03809","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1527151125","https://openalex.org/W1807452827","https://openalex.org/W1969118513","https://openalex.org/W1981576372","https://openalex.org/W2032135424","https://openalex.org/W2241044498","https://openalex.org/W2523675164","https://openalex.org/W2539680302","https://openalex.org/W2758991599","https://openalex.org/W2771495637","https://openalex.org/W2779291949","https://openalex.org/W2783120670","https://openalex.org/W2789158883","https://openalex.org/W2790483384","https://openalex.org/W2791764991","https://openalex.org/W2792665223","https://openalex.org/W2792973870","https://openalex.org/W2795679926","https://openalex.org/W2906461934","https://openalex.org/W2942351005","https://openalex.org/W2950858433","https://openalex.org/W2957548041","https://openalex.org/W3122305330","https://openalex.org/W4211068006","https://openalex.org/W4231546411"],"related_works":["https://openalex.org/W2936575728","https://openalex.org/W3183210482","https://openalex.org/W3003119852","https://openalex.org/W2950858433","https://openalex.org/W2990327424","https://openalex.org/W4390655980","https://openalex.org/W4413178009","https://openalex.org/W7167510547","https://openalex.org/W4411751690","https://openalex.org/W2792665223"],"abstract_inverted_index":{"This":[0],"study":[1],"examines":[2],"whether":[3],"the":[4,17,26,58,67,97,100,103],"efficiency":[5,30,62,72],"of":[6,28,60,78],"cryptocurrency":[7,106],"markets":[8],"(Bitcoin":[9],"and":[10,83],"Ethereum)":[11],"evolve":[12],"over":[13,80],"time":[14,65],"based":[15],"on":[16,42],"adaptive":[18],"market":[19,29,61,71,86,89],"hypothesis":[20],"(AMH).":[21],"In":[22],"particular,":[23],"we":[24],"measure":[25],"degree":[27,59],"using":[31],"a":[32,85],"generalized":[33],"least":[34],"squares-based":[35],"time-varying":[36],"model":[37],"that":[38,48,56,77,96],"does":[39],"not":[40],"depend":[41],"sample":[43],"size,":[44],"unlike":[45],"previous":[46],"studies":[47],"used":[49],"conventional":[50],"methods.":[51],"The":[52],"empirical":[53],"results":[54,98],"show":[55],"(1)":[57],"varies":[63],"with":[64,87],"in":[66],"markets,":[68],"(2)":[69],"Bitcoin\u2019s":[70],"level":[73],"is":[74],"higher":[75],"than":[76],"Ethereum":[79],"most":[81,104],"periods,":[82],"(3)":[84],"high":[88],"liquidity":[90],"has":[91],"been":[92],"evolving.":[93],"We":[94],"conclude":[95],"support":[99],"AMH":[101],"for":[102],"established":[105],"market.":[107]},"counts_by_year":[{"year":2026,"cited_by_count":9},{"year":2025,"cited_by_count":18},{"year":2024,"cited_by_count":14},{"year":2023,"cited_by_count":25},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":3}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2020-05-13T00:00:00"}
