Efficiency in cryptocurrency markets: new evidence

Martín, Carmen; Muela, Sonia Benito; Arguedas, Raquel

doi:10.1007/s40822-021-00182-5

Cited by 37 publications

(30 citation statements)

References 56 publications

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“…They have attracted much attention on the financial scene as a digital asset class, capable of offering very high returns and decent diversification benefits when combined with conventional assets . Several studies have focused on Bitcoin and other major cryptocurrencies in terms of price discovery (Corbet et al 2019;Chen et al 2020), herding (Yousaf et al 2021), bubble formation (Bouri et al 2019;Chaim and Laurini 2019), interconnectedness (Ji et al 2019), market efficiency (López-Martín et al 2021;Noda 2021), and safe-haven ability Das et al 2020;Dutta et al 2020;Hatemi-J. et al 2020).…”

Section: Introductionmentioning

confidence: 99%

Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Dutta

Bouri

2022

JRFM

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We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets.

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Section: Introductionmentioning

confidence: 99%

Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Dutta

Bouri

2022

JRFM

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“…However, the levels of efficiency or inefficiency has varied with different time horizons with more recent timelines showing improving efficiency with increased usage of cryptocurrencies [86]. We note that these changing dynamics is in alignment with the adaptive market hypothesis [87]. Scholars have identified the following other factors as playing significant roles in influencing the direction and depth of the liquidity of cryptocurrencies: set up of trusted exchanges, level of broad-based acceptance and awareness of would-be users, existence of alternate payment platforms such as ATMs, cards etc., and the levels of regulatory oversight available [60,88].…”

Section: Cryptocurrencies and Market Liquiditymentioning

confidence: 77%

Cryptocurrency and Global Practices: Lessons for Nigeria

Ogunode

Iwala

Awoniyi

et al. 2022

SAJSSE

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This paper examined cryptocurrency and its global practices with particular reference to salient lessons for the Nigerian economy. The desk review methodology anchored on content analysis was used for the study. The paper identified distrust in political systems, weak domestic currency and high inflation rates as key factors fueling the growth of cryptocurrency usage in Nigeria thus motivating individuals to resort to cryptocurrencies as a tool for wealth preservation and inflation hedge. The study also found that the existence of trust deficit and challenges associated with privacy concerns, system uptime and stringent onboarding requirements were capable of derailing the success of the newly launched digital currency(‘e-naira’) issued by government to curtail cryptocurrency usage in Nigeria. The study concluded that cryptocurrencies and central bank issued digital currencies (CBDCs) are now part and parcel of the new economic order and represents the future of finance. It therefore recommended that nation states should work assiduously to develop uniformly agreed regulatory framework and global standards for the usage of cryptocurrencies.

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“…There are many papers which analyse the hypothesis of efficiency in cryptocurrency markets, in particular, for Bitcoin. Many authors have applied a battery of tests to overhaul the weak form of the efficient market hypothesis (López-Martín et al. , 2021; Aggarwal, 2019; Chu et al.…”

Section: Literature Review: Seasonal Anomaliesmentioning

confidence: 99%

“…, 2018; Kosc et al. , 2019; Charfeddine and Maouchi, 2019; López-Martín et al. , 2021, among others).…”

Section: Introductionmentioning

confidence: 96%

Ramadan effect in the cryptocurrency markets

Martín

2022

RBF

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PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.

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Efficiency in cryptocurrency markets: new evidence

Cited by 37 publications

References 56 publications

Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Cryptocurrency and Global Practices: Lessons for Nigeria

Ramadan effect in the cryptocurrency markets

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