Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework

Abstract

© 2019 Elsevier Inc. This paper re-visits the Efficient Market Hypothesis for 31 of the top market-cap cryptocurrencies using various panel tests. We first examine cross-sectional dependence in panels for these cryptocurrencies to inform the subsequent use of tests for non-stationarity. Next, we utilise panel unit root/stationarity tests that allow for any cross-sectional dependence and takes into account possible structural breaks in the panels to jointly examine the efficiency of cryptocurrencies. The panel evidence suggests no empirical support for the hypothesis, indicating market inefficiency in cryptocurrencies.

Source or Periodical Title

Finance Research Letters

ISSN

15446123

Page

138-145

Document Type

Article

Subject

Cryptocurrency, Market efficiency, Panel data models

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