Analyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies: Insights from the Fourier non-linear quantile unit root approach
Emre Kilic,
Ersin Yavuz,
Sevket Pazarci and
Asim Kar
Finance Research Letters, 2023, vol. 58, issue PC
Abstract:
We test the efficient market hypothesis (EMH) in Bitcoin (BTC) and Ethereum (ETH) using the further Fourier nonlinear quantile (FNQKS) unit root test by Bahmani-Oskooee et al. (2020). While conventional tests support EMH in the cryptocurrency market, the FNQKS unit root test does not support EMH. Considering non-linearity, Fourier breaks, and non-normal distribution in BTC and ETH exhibit asymmetric persistence. This allows investors to make adjustments to their portfolios in response to both negative and positive shocks.
Keywords: Cryptocurrency; EMH; Smooth breaks; Non-linearity; Quantile unit root (search for similar items in EconPapers)
JEL-codes: C22 F3 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009005
DOI: 10.1016/j.frl.2023.104528
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