Information Efficiency in the Cryptocurrency Market:The Efficient-Market Hypothesis
- 주제(키워드) 도움말 Cryptocurrency market , efficient-market hypothesis , random walk , information efficacy
- 발행기관 TAYLOR & FRANCIS INC
- 발행년도 2021
- 총서유형 Journal
- 본문언어 영어
초록/요약 도움말
This study tested the efficient-market hypothesis (EMH) to examine information efficacy in the cryptocurrency market. We conducted three random walk tests to verify the weak-form EMH and used the event study method to test the semi-strong-form EMH. The analysis results demonstrated that 54 (6.04%) of the total of 893 cryptocurrency units satisfied the weak-form EMH, and 24 (2.695%) met the semi-strong market hypothesis. Furthermore, we found that, among the cryptocurrency exchanges that were established before November 2017, large size exchanges were more likely to satisfy the weak- and semi-strong-form EMHs.
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