Whether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis

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Tarih

2024

Yazarlar

Özcan, Rasim
Khan, Asad ul Islam
Iftikhar, Sundas

Dergi Başlığı

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Cilt Başlığı

Yayıncı

Bank Indonesia Institute

Erişim Hakkı

info:eu-repo/semantics/openAccess

Araştırma projeleri

Organizasyon Birimleri

Organizasyon Birimi
İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümü
İktisat Bölümü, başta Türkiye ve çevre ülkeler olmak üzere küresel ekonomileri anlayan, var olan sorunları analiz ederken, iktisadi kuramları ve kavramları yetkin ve özgün bir şekilde kullanma becerisine sahip bireyler yetiştirmeyi amaçlamaktadır.

Dergi sayısı

Özet

This study examines the validity of the efficient market hypothesis for the cryptocurrency market. We use the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, the day-of-the-week (DOW) effect, and the month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky months for investors.

Açıklama

Anahtar Kelimeler

Cryptocurrencies, Market Anomalies, Market Efficiency, Volatility

Kaynak

Buletin Ekonomi Moneter dan Perbankan

WoS Q Değeri

Scopus Q Değeri

Q2

Cilt

27

Sayı

1

Künye

Özcan, R., Khan, A. I. ve Iftikhar, S. (2024). Whether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis. Buletin Ekonomi Moneter dan Perbankan, 27(1), 113-132. https://www.doi.org/10.59091/2460-9196.2227