Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates

Zheng Nan and Taisei Kaizoji ()

International Review of Financial Analysis, 2019, vol. 64, issue C, 273-281

Abstract: We propose a bitcoin-based exchange rate of USD/EUR and investigate market efficiency in the spot, futures, and forward FX markets. Structural-change, unit-root and Johansen tests indicate that the bitcoin exchange rate is a random walk and is co-integrated with the FX series. Inferences regarding the co-integrating coefficients suggest the long-run “unbiasedness” and short-run “fair game” nature of the bitcoin exchange rate. Our results are indicative of weak or semi-strong market efficiency.

Keywords: Bitcoin; Market efficiency; Bitcoin exchange rate; Co-integration; Johansen procedure (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:64:y:2019:i:c:p:273-281

DOI: 10.1016/j.irfa.2019.06.003

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