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Efficiency in cryptocurrency markets: new evidence

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dc.contributor.authorLópez Martín, Carmen
dc.contributor.authorBenito Muela, Sonia
dc.contributor.authorArguedas Sanz, Raquel
dc.date.accessioned2024-05-20T11:24:30Z
dc.date.available2024-05-20T11:24:30Z
dc.date.issued2021-07-26
dc.description.abstractIn 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1007/s40822-021-00182-5
dc.identifier.issn1309422X, 2147429X
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11915
dc.journal.issue3
dc.journal.titleEurasian Economic Review
dc.journal.volume11
dc.language.isoen
dc.publisherSpringer
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject.keywordsMarket efficiency
dc.subject.keywordsAdaptive market hypothesis
dc.subject.keywordsCryptocurrencies
dc.subject.keywordsRandom walk
dc.subject.keywordsHurst exponent
dc.subject.keywordsVariance ratio test
dc.titleEfficiency in cryptocurrency markets: new evidencees
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublicationc97e2d29-4ce5-49e3-b864-9810ead93be6
relation.isAuthorOfPublication01b4ab6d-1510-434b-b108-29b4cc8746f0
relation.isAuthorOfPublication5caf1cb0-3213-4235-ae2e-9dfe4bea1889
relation.isAuthorOfPublication.latestForDiscoveryc97e2d29-4ce5-49e3-b864-9810ead93be6
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