Unveiling bitcoin market dynamics: a comprehensive analysis of efficiency beyond traditional measures

Saad Alshammari, Rihab Bedoui Ben Salem, Joslin Girar, Khaled Guesmi and Insaf Hattab

Review of Accounting and Finance, 2025, vol. 24, issue 5, 788-805

Abstract: PurposeThis paper aims to delve into the intricate dynamics of the Bitcoin market, combining established financial theories with innovative methodologies to assess market efficiency and identify anomalies.Design/methodology/approachThe paper investigates the efficiency of the Bitcoin market through a diverse set of lenses, using statistical methods such as linear and rank correlations, mean absolute error, mean squared error and introducing a unique copula-based approach for modeling dependence structures. The authors explore the weak form of informational market efficiency, focusing on the period before and after 2014.FindingsNotable findings from this study include evidence of partial inefficiency, the emergence of anomalies, and the presence of predictability, challenging the assumption of a pure martingale. Structured into sections reviewing relevant literature, outlining this empirical methodology, presenting robust empirical results and concluding with insights and implications, this paper contributes to a deeper understanding of Bitcoin’s market behavior.Originality/valueDespite the extensive literature on market efficiency, the Bitcoin market remains relatively unexplored. This study addresses this gap, offering a nuanced analysis that goes beyond traditional measures. This work emphasizes the relevance of adopting innovative approaches to assess market efficiency in a rapidly evolving financial landscape.

Keywords: Bitcoin; Market efficiency; Efficient markets hypothesis (EMH); Anomalies; Financial theory; Copula theory; Predictive accuracy; Mean absolute error (MAE); Mean squared error (MSE); Cryptocurrency; Financial innovation (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:rafpps:raf-11-2024-0520

DOI: 10.1108/RAF-11-2024-0520

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