Cryptocurrencies market efficiency ranking: Not so straightforward

0505687 - ÚTIA 2020 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav - Vošvrda, Miloslav
Cryptocurrencies market efficiency ranking: Not so straightforward.
Physica. A : Statistical Mechanics and its Applications. Roč. 531, č. 1 (2019), č. článku 120853. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GBP402/12/G097; GA ČR(CZ) GJ17-12386Y
Institucionální podpora: RVO:67985556
Klíčová slova: Cryptocurrency * Efficient market hypothesis * Efficiency index * Fractal dimension
Obor OECD: Finance
Impakt faktor: 2.924, rok: 2019
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0505687.pdf https://www.sciencedirect.com/science/article/pii/S0378437119304558

We study the cryptocurrency market with respect to the efficient market hypothesis. Specifically, we are interested in testing whether the examined coins and tokens are efficient or not but we also compare the levels of efficiency within the cryptomarket. To do so, we utilize the Efficiency Index comprising the long-range dependence, fractal dimension and entropy components. Focusing on a set of historical currencies - Bitcoin, DASH, Litecoin, Monero, Ripple and Stellar - as well as popular currencies and token of the last year (with market capitalization above $0,5 billion), we uncover some surprising results. First, the historical currencies are unanimously inefficient over the analyzed period. Second, efficiency itself and ranking as well are dependent on the denomination (the US dolar or Bitcoin). Third, most of the coins and tokens were efficient between July 2017 and June 2018. And fourth, the least efficient coins turn out to be Ethereum and Litecoin whereas DASH is the winner as the most efficient cryptocurrency.
Trvalý link: http://hdl.handle.net/11104/0297106