Whether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis
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Dosyalar
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Bank Indonesia Institute
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study examines the validity of the efficient market hypothesis for the cryptocurrency market. We use the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, the day-of-the-week (DOW) effect, and the month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky months for investors.
Açıklama
Anahtar Kelimeler
Cryptocurrencies, Market Anomalies, Market Efficiency, Volatility
Kaynak
Buletin Ekonomi Moneter dan Perbankan
WoS Q Değeri
Scopus Q Değeri
Q2
Cilt
27
Sayı
1
Künye
Özcan, R., Khan, A. I. ve Iftikhar, S. (2024). Whether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis. Buletin Ekonomi Moneter dan Perbankan, 27(1), 113-132. https://www.doi.org/10.59091/2460-9196.2227
