IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v30y2023i16p2245-2251.html
   My bibliography  Save this article

Testing for market efficiency in cryptocurrencies: evidence from a non-linear conditional quantile framework

Author

Listed:
  • Myeong Jun Kim
  • Sung Y. Park

Abstract

This study tests for the weak-form market efficiency of 15 cryptocurrency prices. The conventional unit root tests and stationary test results reveal that most cryptocurrency markets are efficient markets. However, the non-linear quantile unit root test proposed by Li and Park (2018) rejects the unit root null hypothesis over the whole quantile level. To derive more informative ideas, we split the whole quantile interval to several sub-intervals and find asymmetric behaviour of the market efficiency across the lower and upper sub-intervals in several cryptocurrency markets. Moreover, non-linear quantile unit root tests for Chainlink, Bitcoin Cash, Binance Coin, EOS, Tron, and Stellar indicate that markets for these cryptocurrencies are efficient at the upper sub-intervals.

Suggested Citation

  • Myeong Jun Kim & Sung Y. Park, 2023. "Testing for market efficiency in cryptocurrencies: evidence from a non-linear conditional quantile framework," Applied Economics Letters, Taylor & Francis Journals, vol. 30(16), pages 2245-2251, September.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:16:p:2245-2251
    DOI: 10.1080/13504851.2022.2096851
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2022.2096851
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2022.2096851?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:30:y:2023:i:16:p:2245-2251. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.