Information Efficiency in the Cryptocurrency Market:The Efficient-Market Hypothesis

【Author】 Kang, Ho-Jun; Lee, Sang-Gun; Park, Soo-Yong

【Source】JOURNAL OF COMPUTER INFORMATION SYSTEMS

【影响因子】3.317

【Abstract】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.

【Keywords】Cryptocurrency market; efficient-market hypothesis; random walk; information efficacy

【发表时间】2021

【收录时间】2022-01-02

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