Weak Form Efficiency and Cryptocurrency Market

Süleyman Açıkalın and İlker Sakınç
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Süleyman Açıkalın: Hitit University
İlker Sakınç: Hi̇ti̇t University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2022, vol. 37, issue 117, 177-196

Abstract: The aim of this study is to test whether the cryptocurrency market is a weak-form efficient market according to the random walk hypothesis. In this study, the return series between 02.01.2018 and 18.08.2021 of the seven crypto currencies was used. The hypothesis was tested with the normality, the unit root, the running and the variance ratio test methods. As a result, it was concluded that the series do not have a normal distribution, they are stationary, there is no temporal independence in the series and the series do not have the characteristics of a random walk series. These results show us that the cryptocurrency market is not a weak-form efficient market.

Keywords: Efficient Market Hypothesis; Weak Form Efficiency; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: A11 G10 G14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:37:y:2022:i:117:p:177-196

DOI: 10.33203/mfy.1084658

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