Assessment of the Crypto Market Efficiency: Empirical Evidence from Unit Root Tests with Different Approximations

Yüksel İltaş, Gülbahar Üçler () and Umit Bulut

Chapter Chapter 10 in Blockchain Economics and Financial Market Innovation, 2019, pp 191-200 from Springer

Abstract: Abstract The purpose of this study is to examine whether the weak form of the efficient market hypothesis (EMH) is valid for the Bitcoin market. To that end, we consider the recent developments in unit root analysis utilizing daily data from February 2, 2012 to November 23, 2018. More specifically, we employ unit root tests with and without sharp breaks and also a unit root test with gradual breaks in order to obtain efficient and unbiased output. Our findings show that the EMH appears to be valid for the Bitcoin market. We discuss theoretical and practical implications of these findings.

Date: 2019
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DOI: 10.1007/978-3-030-25275-5_10

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