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Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework

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  • Hu, Yang
  • Valera, Harold Glenn A.
  • Oxley, Les

Abstract

This paper re-visits the Efficient Market Hypothesis for 31 of the top market-cap cryptocurrencies using various panel tests. We first examine cross-sectional dependence in panels for these cryptocurrencies to inform the subsequent use of tests for non-stationarity. Next, we utilise panel unit root/stationarity tests that allow for any cross-sectional dependence and takes into account possible structural breaks in the panels to jointly examine the efficiency of cryptocurrencies. The panel evidence suggests no empirical support for the hypothesis, indicating market inefficiency in cryptocurrencies.

Suggested Citation

  • Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145
    DOI: 10.1016/j.frl.2019.04.012
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    More about this item

    Keywords

    Market efficiency; Cryptocurrency; Panel data models;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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