Detail publikace

Kristoufek, L. & Vosvrda, M.: Cryptocurrencies market efficiency ranking: Not so straightforward

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
prof. Ing. Miloslav Vošvrda CSc.,
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 0
Publikováno v: Physica A: Statistical Mechanics and its Applications 531:120853 PDF
Místo vydání:
Klíčová slova: cryptocurrency, efficient market hypothesis, efficiency index, long-range dependence, fractal dimension, approximate entropy
JEL kódy:
Abstrakt: 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 tokens 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 as dependent on the denomination (the US dollar 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.




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