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Does Bitcoin follow the hypothesis of efficient market?

Author

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  • Jakub Bartos

    (University of Economics, Prague)

Abstract

Bitcoin has emerged as phenomenon of the financial markets as the currency without any central authority. Recent events of Bitcoin has risen question about its behavior and there is crucial question if the price of Bitcoin follows hypothesis of efficient markets. In this paper, there are introduced the main features of Bitcoin and analyzed its price behavior. We found out that price of the most famous cryptocurrency Bitcoin follows the hypothesis of efficient markets and it immediately react on publicly announce information. Furthermore, Bitcoin can be seen as standard economic good that is priced by interaction of supply and demand on the market. These factors can be driven by macro financial development or by speculative investors, but there weren?t found any significant impact of these factors on price of Bitcoin.

Suggested Citation

  • Jakub Bartos, 2015. "Does Bitcoin follow the hypothesis of efficient market?," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(2), pages 10-23, June.
    • Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:10-23
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    References listed on IDEAS

    as
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    3. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    5. David Yermack, 2013. "Is Bitcoin a Real Currency? An economic appraisal," NBER Working Papers 19747, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cryptocurrencie; Bitcoin; Financial market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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