Cryptocurrencies market efficiency ranking: Not so straightforward

Ladislav Krištoufek () and Miloslav Vošvrda

Physica A: Statistical Mechanics and its Applications, 2019, vol. 531, issue C

Abstract: We study the cryptocurrency market with respect to the efficient market hypothesis. Specifically, we are interested in testing whether the examined coins and tokens are efficient or not but we also compare the levels of efficiency within the cryptomarket. To do so, we utilize the Efficiency Index comprising the long-range dependence, fractal dimension and entropy components. Focusing on a set of historical currencies – Bitcoin, DASH, Litecoin, Monero, Ripple, and Stellar – as well as popular currencies and tokens of the last year (with market capitalization above $0.5 billion), we uncover some surprising results. First, the historical currencies are unanimously inefficient over the analyzed period. Second, efficiency itself and ranking as well are dependent on the denomination (the US dollar or Bitcoin). Third, most of the coins and tokens were efficient between July 2017 and June 2018. And fourth, the least efficient coins turn out to be Ethereum and Litecoin whereas DASH is the winner as the most efficient cryptocurrency.

Keywords: Cryptocurrency; Efficient market hypothesis; Efficiency index; Long-range dependence; Fractal dimension; Approximate entropy (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:531:y:2019:i:c:s0378437119304558

DOI: 10.1016/j.physa.2019.04.089

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