Efficiency in cryptocurrency markets: new evidence

Carmen López-Martín (), Sonia Benito Muela () and Raquel Arguedas Sanz
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Carmen López-Martín: National Distance Education University (UNED)
Sonia Benito Muela: National Distance Education University (UNED)

Eurasian Economic Review, 2021, vol. 11, issue 3, No 1, 403-431

Abstract: Abstract In this paper we carried out a comprehensive study of the efficiency in the cryptocurrency markets. The markets under study are: Bitcoin, Litecoin, Ethereum, Ripple, Stellar and Monero. To study the efficiency of these markets, we use a set of five test which are applied in both a static context and dynamic context. The results obtained depend on both the analysis period and the methodology used to test the predictability of the return. However, some conclusions can be drawn: first, we observe that overall, the efficiency degree tends to increase with the time. Second, although the efficiency market seems to change along the period, the changes in the Bitcoin, Litecoin and Ethereum market show a clear tendency that evolves from less to more efficiency. In the case of Ripple, Stellar and Monero, periods of efficiency alternate with periods of inefficient, which is consistent with the adaptive market hypothesis.

Keywords: Market efficiency; Adaptive market hypothesis; Cryptocurrencies; Random walk; Hurst exponent; Variance ratio test (search for similar items in EconPapers)
JEL-codes: G1 G11 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s40822-021-00182-5

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