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

dc.authorid0000-0002-5131-577X
dc.authorid0000-0002-5738-7563
dc.authorid0000-0002-7866-3205
dc.contributor.authorÖzcan, Rasim
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorIftikhar, Sundas
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorÖzcan, Rasim
dc.contributor.otherİnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2024-05-24T11:43:51Z
dc.date.available2024-05-24T11:43:51Z
dc.date.issued2024
dc.departmentİHÜ, İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümü
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.description.abstractThis 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.
dc.identifier.citationÖzcan, 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
dc.identifier.doi10.59091/2460-9196.2227
dc.identifier.endpage132
dc.identifier.issn1410-8046
dc.identifier.issn2460-9196
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85191613253
dc.identifier.scopusqualityQ2
dc.identifier.startpage113
dc.identifier.urihttps://www.doi.org/10.59091/2460-9196.2227
dc.identifier.urihttps://hdl.handle.net/20.500.12154/2869
dc.identifier.volume27
dc.indekslendigikaynakScopus
dc.institutionauthorKhan, Asad Ul Islam
dc.institutionauthorIftikhar, Sundas
dc.institutionauthorid0000-0002-5131-577X
dc.language.isoen
dc.publisherBank Indonesia Institute
dc.relation.ispartofBuletin Ekonomi Moneter dan Perbankan
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Başka Kurum Yazarı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCryptocurrencies
dc.subjectMarket Anomalies
dc.subjectMarket Efficiency
dc.subjectVolatility
dc.titleWhether the crypto market is efficient? Evidence from testing the validity of the efficient market hypothesis
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication6d8c0e0e-dd75-4202-8a3f-76230fd2a682
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
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