Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks

Cemal Öztürk

doi:10.26650/ibr.2025.54.1666799

Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks

Abstract

This study evaluates cryptocurrency market efficiency through an analysis of 25 leading cryptocurrencies traded between 2014 and 2024. This research employs the Augmented Dickey–Fuller (ADF) test and its Fourier-augmented variant (Fourier ADF, FADF), the Kapetanios–Shin–Snell (KSS) test, and its Fourieraugmented counterpart (Fourier KSS, FKSS) as advanced econometric methods to detect unit roots and to assess whether these assets conform to the weak-form Efficient Market Hypothesis (EMH). The research obtained data from Yahoo Finance through web scraping to perform a detailed analysis of price movements, market behavior, and structural changes. Some cryptocurrencies show efficient market behavior, whereas numerous others demonstrate non-linear patterns, structural breaks, and price predictability, indicating market inefficiencies. The findings of this study have major implications for investors and policymakers because they demonstrate the need to analyze cyclical patterns and nonlinear market behaviors in cryptocurrency markets. This research extends current knowledge by using Fourier-based tests to detect smooth breaks, which provides a more detailed understanding of the efficiency of the cryptocurrency market.

Keywords

References

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Details

Primary Language

English

Subjects

Financial Econometrics

Journal Section

Research Article

Authors

Cemal Öztürk ^*
0000-0003-3850-7416
Türkiye

Publication Date

December 31, 2025

Submission Date

March 27, 2025

Acceptance Date

September 3, 2025

Published in Issue

Year 2025 Volume: 54 Number: 3

DOI

https://doi.org/10.26650/ibr.2025.54.1666799

IZ

https://izlik.org/JA38YN28ZK

Cite

RIS / Bibtex

APA

Öztürk, C. (2025). Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks. Istanbul Business Research, 54(3), 374-389. https://doi.org/10.26650/ibr.2025.54.1666799

AMA

1.Öztürk C. Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks. IBR. 2025;54(3):374-389. doi:10.26650/ibr.2025.54.1666799

Chicago

Öztürk, Cemal. 2025. “Exploring Market Efficiency in Cryptocurrencies: Fourier Analysis of Non-Linear Dynamics and Breaks”. Istanbul Business Research 54 (3): 374-89. https://doi.org/10.26650/ibr.2025.54.1666799.

EndNote

Öztürk C (December 1, 2025) Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks. Istanbul Business Research 54 3 374–389.

IEEE

[1]C. Öztürk, “Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks”, IBR, vol. 54, no. 3, pp. 374–389, Dec. 2025, doi: 10.26650/ibr.2025.54.1666799.

ISNAD

Öztürk, Cemal. “Exploring Market Efficiency in Cryptocurrencies: Fourier Analysis of Non-Linear Dynamics and Breaks”. Istanbul Business Research 54/3 (December 1, 2025): 374-389. https://doi.org/10.26650/ibr.2025.54.1666799.

JAMA

1.Öztürk C. Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks. IBR. 2025;54:374–389.

MLA

Öztürk, Cemal. “Exploring Market Efficiency in Cryptocurrencies: Fourier Analysis of Non-Linear Dynamics and Breaks”. Istanbul Business Research, vol. 54, no. 3, Dec. 2025, pp. 374-89, doi:10.26650/ibr.2025.54.1666799.

Vancouver

1.Cemal Öztürk. Exploring market efficiency in cryptocurrencies: Fourier analysis of non-linear dynamics and breaks. IBR. 2025 Dec. 1;54(3):374-89. doi:10.26650/ibr.2025.54.1666799