After the Split: Market Efficiency of Bitcoin Cash

【Author】 Kim, Hyeonoh; Yi, Eojin; Jeon, Jooyoung; Park, Taeyoung; Ahn, Kwangwon

【Source】COMPUTATIONAL ECONOMICS

【影响因子】1.741

【Abstract】This study investigates the weak-form efficient market hypothesis for Bitcoin Cash compared with Bitcoin by applying the concept of quantum harmonic oscillator. Our findings indicate that the Bitcoin Cash market is comparable to, or even more efficient than, the Bitcoin market despite its short history and high market uncertainty. The two most notable conclusions are (i) both Bitcoin and Bitcoin Cash markets tend to be bounded mostly at the smallest uncertainty level, indicating that all past prices are reflected in today's price and (ii) the adjustment speed of the log return series to the long-term equilibrium occurs three times faster in the Bitcoin Cash market than in the Bitcoin market. Furthermore, the degree of market integration between Bitcoin and Bitcoin Cash markets explains why the latter can be considered a fair value on cryptocurrency exchanges. The findings suggest that policymakers must fully consider market synchronization between the original and split markets as well as other key factors, such as supporting technology and market frictions, to prevent regulatory arbitrage.

【Keywords】Market efficiency; Quantum harmonic oscillator; Bitcoin Cash; Hard fork

【发表时间】2023 2023 AUG 16

【收录时间】2023-08-28

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币