Efficiency in cryptocurrency markets: new evidence

Lopez-Martín, Carmen, Benito Muela, Sonia y Arguedas-Sanz, Raquel . (2021) Efficiency in cryptocurrency markets: new evidence. Eurasian Economic Review, 11(3) 2021, pp. 403-431

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Título Efficiency in cryptocurrency markets: new evidence
Autor(es) Lopez-Martín, Carmen
Benito Muela, Sonia
Arguedas-Sanz, Raquel
Materia(s) Economía
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 studdy 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.
Palabras clave Market efficiency
Adaptive market hypothesis
Random walk
Hurst exponent
Variance ratio test
Editor(es) Springer
Fecha 2021-07-26
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0004
DOI - identifier https://doi.org/10.1007/s40822-021-00182-5
ISSN - identifier 1309422X, 2147429X
Nombre de la revista Eurasian Economic Review
Número de Volumen 11
Número de Issue 3
Página inicial 403
Página final 431
Publicado en la Revista Eurasian Economic Review, 11(3) 2021, pp. 403-431
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
Tipo de acceso Acceso abierto
Notas adicionales The published version of this article, first published in Eurasian Economic Review, is available online at the publisher's website: Springer, https://doi.org/10.1007/s40822-021-00182-5
Notas adicionales La versión publicada de este artículo, publicado por primera vez en Eurasian Economic Review, está disponible en línea en el sitio web del editor: Springer, https://doi.org/10.1007/s40822-021-00182-5

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Creado: Mon, 18 Dec 2023, 21:00:05 CET