Cryptocurrencies market efficiency ranking: Not so straightforward

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Cryptocurrencies market efficiency ranking: Not so straightforward

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Cryptocurrencies market efficiency ranking: Not so straightforward

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

531

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

8

Strana od-do

120853

Kód UT WoS článku

000482494100056

EID výsledku v databázi Scopus

2-s2.0-85067389181