Efficiency in cryptocurrency markets: new evidence

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 an...

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Detalles Bibliográficos
Autores: López Martín, Carmen, Benito Muela, Sonia, Arguedas Sanz, Raquel
Tipo de recurso: artículo
Fecha de publicación:2021
País:España
Institución:Universidad Nacional de Educación a Distancia
Repositorio:e-spacio. Repositorio Institucional de la UNED
Idioma:inglés
OAI Identifier:oai:e-spacio.uned.es:20.500.14468/11915
Acceso en línea:https://hdl.handle.net/20.500.14468/11915
Access Level:acceso abierto
Palabra clave:Market efficiency
Adaptive market hypothesis
Cryptocurrencies
Random walk
Hurst exponent
Variance ratio test
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spelling Efficiency in cryptocurrency markets: new evidenceLópez Martín, CarmenBenito Muela, SoniaArguedas Sanz, RaquelMarket efficiencyAdaptive market hypothesisCryptocurrenciesRandom walkHurst exponentVariance ratio testIn 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.Springere-Spacio UNED20242024-05-2020212021-07-2620212021-07-26journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14468/11915reponame:e-spacio. Repositorio Institucional de la UNEDinstname:Universidad Nacional de Educación a DistanciaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.esoai:e-spacio.uned.es:20.500.14468/119152026-06-06T12:38:31Z
dc.title.none.fl_str_mv Efficiency in cryptocurrency markets: new evidence
title Efficiency in cryptocurrency markets: new evidence
spellingShingle Efficiency in cryptocurrency markets: new evidence
López Martín, Carmen
Market efficiency
Adaptive market hypothesis
Cryptocurrencies
Random walk
Hurst exponent
Variance ratio test
title_short Efficiency in cryptocurrency markets: new evidence
title_full Efficiency in cryptocurrency markets: new evidence
title_fullStr Efficiency in cryptocurrency markets: new evidence
title_full_unstemmed Efficiency in cryptocurrency markets: new evidence
title_sort Efficiency in cryptocurrency markets: new evidence
dc.creator.none.fl_str_mv López Martín, Carmen
Benito Muela, Sonia
Arguedas Sanz, Raquel
author López Martín, Carmen
author_facet López Martín, Carmen
Benito Muela, Sonia
Arguedas Sanz, Raquel
author_role author
author2 Benito Muela, Sonia
Arguedas Sanz, Raquel
author2_role author
author
dc.contributor.none.fl_str_mv e-Spacio UNED
dc.subject.none.fl_str_mv Market efficiency
Adaptive market hypothesis
Cryptocurrencies
Random walk
Hurst exponent
Variance ratio test
topic Market efficiency
Adaptive market hypothesis
Cryptocurrencies
Random walk
Hurst exponent
Variance ratio test
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021
2021-07-26
2021
2021-07-26
2024
2024-05-20
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14468/11915
url https://hdl.handle.net/20.500.14468/11915
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:e-spacio. Repositorio Institucional de la UNED
instname:Universidad Nacional de Educación a Distancia
instname_str Universidad Nacional de Educación a Distancia
reponame_str e-spacio. Repositorio Institucional de la UNED
collection e-spacio. Repositorio Institucional de la UNED
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.811543

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