  This study examines whether the efficiency of cryptocurrency markets (Bitcoin
and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis
(AMH). In particular, we measure the degree of market efficiency using a
generalized least squares-based time-varying model that does not depend on
sample size, unlike previous studies that used conventional methods. The
empirical results show that (1) the degree of market efficiency varies with
time in the markets, (2) Bitcoin's market efficiency level is higher than that
of Ethereum over most periods, and (3) a market with high market liquidity has
been evolving. We conclude that the results support the AMH for the most
established cryptocurrency market.
