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Weak efficiency of the cryptocurrency market: a market portfolio approach

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  • David Vidal-Tomás
  • Ana M. Ibáñez
  • José E. Farinós

Abstract

Cryptocurrencies have attracted the attention of many investors and policymakers given the increase in popularity of Bitcoin. In this context, we analyse the cryptocurrency market by means of cap-weighted and equally weighted market portfolios that include all the altcoins available for three different periods (2015–2017, 2016–2017 and 2017). By using the most traditional tests of efficiency, we observe three main features of the cryptocurrency market: it is weak-form inefficient due to the behaviour of all the altcoins, it is more inefficient over time, especially in 2017, and the creation of new cryptocurrencies has not significantly changed the efficiency of the market.

Suggested Citation

  • David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2019. "Weak efficiency of the cryptocurrency market: a market portfolio approach," Applied Economics Letters, Taylor & Francis Journals, vol. 26(19), pages 1627-1633, November.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:19:p:1627-1633
    DOI: 10.1080/13504851.2019.1591583
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    Cited by:

    1. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
    2. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Masih, Mansur, 2022. "COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    3. David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2021. "The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach," Mathematics, MDPI, vol. 9(4), pages 1-14, February.

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