Cryptocurrencies market efficiency ranking: Not so straightforward
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00505687" target="_blank" >RIV/67985556:_____/19:00505687 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0378437119304558" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437119304558</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2019.04.089" target="_blank" >10.1016/j.physa.2019.04.089</a>
Alternative languages
Result language
angličtina
Original language name
Cryptocurrencies market efficiency ranking: Not so straightforward
Original language description
We study the cryptocurrency market with respect to the efficient market hypothesis. Specifically, we are interested in testing whether the examined coins and tokens are efficient or not but we also compare the levels of efficiency within the cryptomarket. To do so, we utilize the Efficiency Index comprising the long-range dependence, fractal dimension and entropy components. Focusing on a set of historical currencies - Bitcoin, DASH, Litecoin, Monero, Ripple and Stellar - as well as popular currencies and token of the last year (with market capitalization above $0,5 billion), we uncover some surprising results. First, the historical currencies are unanimously inefficient over the analyzed period. Second, efficiency itself and ranking as well are dependent on the denomination (the US dolar or Bitcoin). Third, most of the coins and tokens were efficient between July 2017 and June 2018. And fourth, the least efficient coins turn out to be Ethereum and Litecoin whereas DASH is the winner as the most efficient cryptocurrency.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
531
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
8
Pages from-to
120853
UT code for WoS article
000482494100056
EID of the result in the Scopus database
2-s2.0-85067389181