Are cryptocurrency markets efficient?
Başlık çevirisi mevcut değil.
- Tez No: 837172
- Danışmanlar: PROF. TARUN RAMADORAİ
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Cryptocurrency, market efficiency, random walk, autocorrelation
- Yıl: 2022
- Dil: İngilizce
- Üniversite: Imperıal College London
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
The cryptocurrency market has attracted great interest after the emergence of Bitcoin. Especially after the Covid-19 pandemic, the cryptocurrency market has become the focus of investors and policymakers. Even though cryptocurrency markets have an immense amount of investment traffic, not too much attention has been paid to efficiency of cryptocurrency markets so far. Therefore, this research focuses on an analysis of the efficiency of cryptocurrency markets comprehensively. This study aims to contribute to the literature in three ways. First, top ten cryptocurrencies that have the highest market capitalization and effectively makes up around 80% of the market, are examined in terms of weak form of market efficiency. Second, efficiency of these ten cryptocurrencies is evaluated both throughout their lifetime and for after 2020 for a more recent analysis. Lastly, market efficiency of cryptocurrencies is evaluated in long horizon up to two months. In order to test the market efficiency, Lo-MacKinlay variance ratio test, Ljung-Box test and Hurst exponent test based on the rescaled range method are employed. Our main findings suggest that the sample cryptocurrencies are more inefficient in their initial years and has become less inefficient as they mature in time and develop in terms of investor activity. To illustrate, when we applied the same methods on daily data between periods 22/09/2022 and 01/07/2022, we observed that most cryptocurrencies have become significantly less inefficient over time. Furthermore, it is revealed that cryptocurrencies are more inefficient in long horizon, especially after 8 days. In the selected group of cryptocurrencies, Dogecoin and Shiba are the only ones that seem to be less efficient in the last two years compared to the years before. Therefore, it can be argued that it is worth developing trading strategies on these cryptocurrencies. Researchers may focus on semi-strong form efficiency of the cryptocurrency market in the future to continue and complement this research.
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