Should You Invest or Trade in Cryptocurrency: A Perspective from Weak Form Efficiency

【Author】 Kumari, Santosh; Majumder, Ritabrata

【Source】PACIFIC BUSINESS REVIEW INTERNATIONAL

【影响因子】0.000

【Abstract】The idea of efficient market hypothesis is long drawn and stems from the idea of informational efficiency. A large and liquid market where transaction costs are low form the basis of an efficient market-yet the crypto market is often illiquid, exhibit large fluctuations and attracts the attention of retail speculators with unreliable information. Thus, this study aims to establish inefficiency in the crypto market through showing presence of serial correlation, non-randomness and volatility clustering. The study assumes significance as it indicates that positive developments, like introduction of Bitcoin and Ethereum futures and options or ETFS, can be used to move the Cryptocurrencies towards being efficient in long run. Through finding inefficiency, a prima-facie advantage is found in trading crypto-rather than investing.

【Keywords】GARCH (1,1); Serial Correlation; Efficient Market Hypothesis; Random Walk; Autocorrelation Function; Efficiency

【发表时间】2021 OCT

【收录时间】2022-02-04

【文献类型】期刊

【主题类别】

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