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Market Efficiency for Bitcoin

Taechawattananant, Pirachtha LU and Kashmar, Hasan LU (2021) NEKN02 20211
Department of Economics
Abstract
The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. To test for weak-form market efficiency, we check for the random walk, in addition to employing statistical tests of the martingale difference hypothesis in returns. Based on our results, we find evidence of the time-varying efficiency degree of the Bitcoin market. The return predictability is discovered to be driven by changes in market conditions, as implied by the adaptive market hypothesis. The results also show a decreasing trend in the... (More)
The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. To test for weak-form market efficiency, we check for the random walk, in addition to employing statistical tests of the martingale difference hypothesis in returns. Based on our results, we find evidence of the time-varying efficiency degree of the Bitcoin market. The return predictability is discovered to be driven by changes in market conditions, as implied by the adaptive market hypothesis. The results also show a decreasing trend in the inefficiency given the sequential halving dates. This means that Bitcoin is becoming more efficient over time, even though the evidence is relatively weak. (Less)
Please use this url to cite or link to this publication:
author
Taechawattananant, Pirachtha LU and Kashmar, Hasan LU
supervisor
organization
course
NEKN02 20211
year
type
H1 - Master's Degree (One Year)
subject
keywords
Bitcoin, Efficiency Market Hypothesis, Adaptive Market Hypothesis, Halving Events
language
English
id
9051578
date added to LUP
2021-10-26 08:18:18
date last changed
2021-10-26 08:18:18
@misc{9051578,
  abstract     = {{The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. To test for weak-form market efficiency, we check for the random walk, in addition to employing statistical tests of the martingale difference hypothesis in returns. Based on our results, we find evidence of the time-varying efficiency degree of the Bitcoin market. The return predictability is discovered to be driven by changes in market conditions, as implied by the adaptive market hypothesis. The results also show a decreasing trend in the inefficiency given the sequential halving dates. This means that Bitcoin is becoming more efficient over time, even though the evidence is relatively weak.}},
  author       = {{Taechawattananant, Pirachtha and Kashmar, Hasan}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Market Efficiency for Bitcoin}},
  year         = {{2021}},
}