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Testing for market efficiency in cryptocurrencies: evidence from a non-linear conditional quantile framework

Myeong Jun Kim and Sung Y. Park

Applied Economics Letters, 2023, vol. 30, issue 16, 2245-2251

Abstract: This study tests for the weak-form market efficiency of 15 cryptocurrency prices. The conventional unit root tests and stationary test results reveal that most cryptocurrency markets are efficient markets. However, the non-linear quantile unit root test proposed by Li and Park (2018) rejects the unit root null hypothesis over the whole quantile level. To derive more informative ideas, we split the whole quantile interval to several sub-intervals and find asymmetric behaviour of the market efficiency across the lower and upper sub-intervals in several cryptocurrency markets. Moreover, non-linear quantile unit root tests for Chainlink, Bitcoin Cash, Binance Coin, EOS, Tron, and Stellar indicate that markets for these cryptocurrencies are efficient at the upper sub-intervals.

Date: 2023
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DOI: 10.1080/13504851.2022.2096851

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