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
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Saad Alshammari: KSU - King Saud University [Riyadh]
Rihab Bedoui Ben Salem: IHEC Sousse - IHEC
Joslin Girar: KIMEP, Almaty, Kazakhstan - KIMEP, Almaty, Kazakhstan
Khaled Guesmi: PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université
Insaf Hattab: IMT-BS - DEFI - Département Data analytics, Économie et Finances - IMT - Institut Mines-Télécom [Paris] - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris]

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Abstract: Purpose - This 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/approach - The 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. Findings - Notable 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/value - Despite 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: Anomalies; Financial innovation; Cryptocurrency; Mean squared error (MSE); Mean absolute error (MAE); Predictive accuracy; Copula theory; Financial theory; Efficient markets hypothesis (EMH); Market efficiency; Bitcoin (search for similar items in EconPapers)
Date: 2025-11-19
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Published in Review of Accounting and Finance, 2025, 24 (5), pp.788-805. ⟨10.1108/RAF-11-2024-0520⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05328136

DOI: 10.1108/RAF-11-2024-0520

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