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Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis

Author

Listed:
  • Rasim Özcan

    (Istanbul University, Turkey)

  • Asad ul Islam KHAN

    (Ibn Haldun University, Turkey)

  • Sundas Iftikhar

    (Ibn Haldun University, Turkey)

Abstract

This study examines the validity of the efficient market hypothesis for the cryptocurrency market. We have used the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, day-of-the-week (DOW) effect, and month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky.

Suggested Citation

  • Rasim Özcan & Asad ul Islam KHAN & Sundas Iftikhar, 2024. "Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(1), pages 113-132, March.
    • Handle: RePEc:idn:journl:v:27:y:2024:i:1e:p:113-132
    DOI: https://doi.org/10.59091/2460-9196.2227
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    More about this item

    Keywords

    Market efficiency; Cryptocurrencies; Volatility; Market anomalies;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E70 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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