LONG-RANGE CORRELATIONS AND CRYPTOCURRENCY MARKET EFFICIENCY
LONG-RANGE CORRELATIONS AND CRYPTOCURRENCY MARKET EFFICIENCY
Author(s): Jelena Radojičić, Ognjen RadovićSubject(s): Economy, Financial Markets
Published by: Универзитет у Нишу
Keywords: efficient market hypothesis; cryptocurrency markets; random walk hypothesis; the long-run correlations
Summary/Abstract: This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of return volatility. We compare the characteristics of cryptocurrency returns with the returns on stocks of the most important companies producing hardware components for cryptocurrency mining. The correlation of returns, trading volume and volatility between cryptocurrencies and selected stocks is tested using a Granger causality test. The research results reject the efficient market hypothesis and show that the cryptocurrency market is a completely new speculative market that is weakly correlated with the stock market.
Journal: FACTA UNIVERSITATIS - Economics and Organization
- Issue Year: 20/2023
- Issue No: 1
- Page Range: 53-69
- Page Count: 17
- Language: English