Unveiling bitcoin market dynamics: a comprehensive analysis of efficiency beyond traditional measures

Purpose - This paper aims to delve into the intricate dynamics of the Bitcoin market, combining established financial theories with innovative methodologies to assess market efficiency and identify anomalies. Design/methodology/approach - The paper investigates the efficiency of the Bitcoin market through a diverse set of lenses, using statistical methods such as linear and rank correlations, mean absolute error, mean squared error and introducing a unique copula-based approach for modeling dependence structures. The authors explore the weak form of informational market efficiency, focusing on the period before and after 2014. Findings - Notable findings from this study include evidence of partial inefficiency, the emergence of anomalies, and the presence of predictability, challenging the assumption of a pure martingale. Structured into sections reviewing relevant literature, outlining this empirical methodology, presenting robust empirical results and concluding with insights and implications, this paper contributes to a deeper understanding of Bitcoin's market behavior. Originality/value - Despite the extensive literature on market efficiency, the Bitcoin market remains relatively unexplored. This study addresses this gap, offering a nuanced analysis that goes beyond traditional measures. This work emphasizes the relevance of adopting innovative approaches to assess market efficiency in a rapidly evolving financial landscape.