Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis

Rasim Özcan (), Asad ul Islam Khan () and Sundas Iftikhar ()
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Rasim Özcan: Istanbul University, Turkey
Asad ul Islam Khan: Ibn Haldun University, Turkey
Sundas Iftikhar: Ibn Haldun University, Turkey
Authors registered in the RePEc Author Service: Rasim OZCAN

Bulletin of Monetary Economics and Banking, 2024, vol. 27, issue 1, 113-132

Abstract: This study examines the validity of the efficient market hypothesis for the cryptocurrency market. We have used the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, day-of-the-week (DOW) effect, and month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky.

Keywords: Market efficiency; Cryptocurrencies; Volatility; Market anomalies (search for similar items in EconPapers)
JEL-codes: C58 D53 E70 G10 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:27:y:2024:i:1e:p:113-132

DOI: 10.59091/2460-9196.2227

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