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The Predictability of High-Frequency Returns in the Cryptocurrency Markets and the Adaptive Market Hypothesis

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  • Karasiński Jacek

    (University of Warsaw, Faculty of Management, Szturmowa 1/3, 02-678 Warsaw, Poland)

Abstract

The objective of this study was to examine the level and behaviour of the weak-form efficiency of the 16 most capitalised cryptocurrencies using intraday data. The study employed martingale difference hypothesis tests utilising the rolling window method. The predictability of high frequency returns varied over time. For most of the time, the cryptocurrencies were unpredictable. Nevertheless, their weak-form efficiency appeared to decrease along with an increase in frequency. In general, most cryptocurrencies were marked by high levels of unpredictability. However, there were some significant differences between the most and least efficient ones. To exploit market inefficiencies, investors should focus on higher frequencies. Higher frequencies should also be a concern to regulators when it comes to ensuring market efficiency.

Suggested Citation

  • Karasiński Jacek, 2025. "The Predictability of High-Frequency Returns in the Cryptocurrency Markets and the Adaptive Market Hypothesis," Central European Economic Journal, Sciendo, vol. 12(59), pages 34-48.
    • Handle: RePEc:vrs:ceuecj:v:12:y:2025:i:59:p:34-48:n:1003
    DOI: 10.2478/ceej-2025-0003
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    References listed on IDEAS

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    1. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
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    More about this item

    Keywords

    cryptocurrency markets; adaptive market hypothesis; efficient market hypothesis [EMH]; predictability of returns; intraday returns;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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