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.
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
