Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework

Yang Hu, Harold Glenn Valera () and Les Oxley

Finance Research Letters, 2019, vol. 31, issue C, 138-145

Abstract: This paper re-visits the Efficient Market Hypothesis for 31 of the top market-cap cryptocurrencies using various panel tests. We first examine cross-sectional dependence in panels for these cryptocurrencies to inform the subsequent use of tests for non-stationarity. Next, we utilise panel unit root/stationarity tests that allow for any cross-sectional dependence and takes into account possible structural breaks in the panels to jointly examine the efficiency of cryptocurrencies. The panel evidence suggests no empirical support for the hypothesis, indicating market inefficiency in cryptocurrencies.

Keywords: Market efficiency; Cryptocurrency; Panel data models (search for similar items in EconPapers)
JEL-codes: C23 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145

DOI: 10.1016/j.frl.2019.04.012

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