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After the Split: Market Efficiency of Bitcoin Cash

Author

Listed:
  • Hyeonoh Kim

    (Korea Institute of S&T Evaluation and Planning)

  • Eojin Yi

    (aSSIST University)

  • Jooyoung Jeon

    (Korea Advanced Institute of Science and Technology)

  • Taeyoung Park

    (Yonsei University)

  • Kwangwon Ahn

    (Yonsei University
    Yonsei University)

Abstract

This study investigates the weak-form efficient market hypothesis for Bitcoin Cash compared with Bitcoin by applying the concept of quantum harmonic oscillator. Our findings indicate that the Bitcoin Cash market is comparable to, or even more efficient than, the Bitcoin market despite its short history and high market uncertainty. The two most notable conclusions are (i) both Bitcoin and Bitcoin Cash markets tend to be bounded mostly at the smallest uncertainty level, indicating that all past prices are reflected in today’s price and (ii) the adjustment speed of the log return series to the long-term equilibrium occurs three times faster in the Bitcoin Cash market than in the Bitcoin market. Furthermore, the degree of market integration between Bitcoin and Bitcoin Cash markets explains why the latter can be considered a fair value on cryptocurrency exchanges. The findings suggest that policymakers must fully consider market synchronization between the original and split markets as well as other key factors, such as supporting technology and market frictions, to prevent regulatory arbitrage.

Suggested Citation

  • Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn, 2024. "After the Split: Market Efficiency of Bitcoin Cash," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 411-427, July.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10427-x
    DOI: 10.1007/s10614-023-10427-x
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    Cited by:

    1. Minhyuk Jeong & Kwangwon Ahn, 2024. "Modeling the tail risk of crude oil futures using a quantum approach," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.

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