Testing for market efficiency in cryptocurrencies: evidence from a non-linear conditional quantile framework

【Author】 Kim, Myeong Jun; Park, Sung Y.

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】This study tests for the weak-form market efficiency of 15 cryptocurrency prices. The conventional unit root tests and stationary test results reveal that most cryptocurrency markets are efficient markets. However, the non-linear quantile unit root test proposed by Li and Park (2018) rejects the unit root null hypothesis over the whole quantile level. To derive more informative ideas, we split the whole quantile interval to several sub-intervals and find asymmetric behaviour of the market efficiency across the lower and upper sub-intervals in several cryptocurrency markets. Moreover, non-linear quantile unit root tests for Chainlink, Bitcoin Cash, Binance Coin, EOS, Tron, and Stellar indicate that markets for these cryptocurrencies are efficient at the upper sub-intervals.

【Keywords】Efficient market hypothesis; Bitcoin; cryptocurrency; Non-linear unit root test; quantile interval unit root test

【发表时间】

【收录时间】2022-07-17

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析