Market efficiency of cryptocurrency: evidence from the Bitcoin market

【Author】 Yi, Eojin; Yang, Biao; Jeong, Minhyuk; Sohn, Sungbin; Ahn, Kwangwon

【Source】SCIENTIFIC REPORTS

【影响因子】4.996

【Abstract】This study examines whether the Bitcoin market satisfies the (weak-form) efficient market hypothesis using a quantum harmonic oscillator, which provides the state-specific probability density functions that capture the superimposed Gaussian and non-Gaussian states of the log return distribution. Contrasting the mixed evidence from a variance ratio test, the high probability allocated to the ground state suggests a near-efficient Bitcoin market. Findings imply that as Bitcoin evolves into an efficient market, speculators might encounter difficulty in exploiting profitable trading strategies. Furthermore, when policymakers initiate tight regulations to control the market, they should closely monitor market efficiency as an index of price distortion.

【Keywords】

【发表时间】2023 MAR 23

【收录时间】2023-08-10

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析