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Weak Form Efficiency and Cryptocurrency Market

Year 2022, , 177 - 196, 27.04.2022
https://doi.org/10.33203/mfy.1084658

Abstract

The aim of this study is to test whether the cryptocurrency market is a weak-form efficient market according to the random walk  Hypothesis. In this study, the return series between 02.01.2018 and 18.08.2021 of the seven crypto currencies was used. The hypothesis was tested with the normality, the unit root, the running and the variance ratio test methods. As a result, it was concluded that the series do not have a normal distribution, they are stationary, there is no temporal independence in the series and the series do not have the characteristics of a random walk series. These results show us that the cryptocurrency market is not a weak-form efficient market.


References

  • Afego, P. (2012). Weak Form Efficiency of The Nigerian Stock Market: An Empirical Analysis (1984-2009). International Journal of Economics and Financial Issues, 2(3), 340-347.
  • Alam, S. (2017). Testing The Weak Form of An Efficient Market In Cryptocurrency. Journal of Engineering and Applied Sciences, 12(9), 2285-2288.
  • Brooks, C. (2008), Introductory Econometrics for Finance, New York: Cambridge University Press.
  • Bech, M. L., & Garratt, R. (2017). Central Bank Cryptocurrencies. BIS Quarterly Review September. 55-70.
  • Charles, A., Darne, O., & Kim, J. H. (2011). Small Sample Properties of Alternative Tests For Martingale Difference Hypothesis. Economics Letters, 110(2), 151-154.
  • Claeys, G., Demertzis, M., & Efstathiou, K. (2018). Cryptocurrencies and Monetary Policy (No. 2018/10). Bruegel Policy Contribution.
  • Coinmarketcap. Today’s Cryptocurrency Prices by Market. https://coinmarketcap.com/ Erişim Tarihi: 21.09.2021.
  • Copeland, T. E., & Weston, J. F. (1988). Financial Theory and Corporate Policy, 3-rd ed. Addison-Wesley.
  • Erdoğan, N. K. (2018). New Approaches to the Measurement of Market Efficiency and Market Efficiency Analysis of Crypto Currencies. Journal of Current Researches on Business and Economics, 8(2), 289-300.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of The Estimators For Autoregressive Time Series With A Unit Root. Journal of the American Statistical Association, 74(366a), 427-431.
  • Güleç, T. C. & Aktaş, H. (2019). Kripto Para Birimi Piyasalarında Etkinliğin Uzun Hafıza ve Değişen Varyans Özelliklerinin Testi Yoluyla Analizi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(2), 491-510.
  • Fama, E., (1965). The Behaviour of Stock Market Prices. Journal of Business, 38, 34 – 104.
  • Fama, E., (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, 383 – 417.
  • Hailu, S. M., & Vural, G. (2020). Testing The Weak Form Market Efficiency of Borsa Istanbul: An Empirical Evidence From Turkish Banking Sector Stocks. Journal of Economics Finance and Accounting, 7(3), 236-249.
  • Hamid, K., Suleman, M.K., Ali Shah, S.Z., & Imdad Akkash, R., (2010). Testing The Weak Form of Efficient Market Hypothesis: Empirical Evidence From Asia-Pacific Markets. International Research Journal of Finance and Economics, 58, 121-133.
  • Hawaldar, I. T., Rajesha, T. M., & Souza, L. J. D. (2019). Testing The Weak Form of Efficiency of Cryptocurrencies: A Case Study of Bitcoin and Litecoin. International Journal of Scientific & Technology Research, 8(9), 2301-2305.
  • Kang, H. J., Lee, S. G., & Park, S. Y. (2021). Information Efficiency in the Cryptocurrency Market: The Efficient-Market Hypothesis. Journal of Computer Information Systems, 1-10.
  • Karan, M. B. (2004). Yatırım Analizi ve Portföy Yönetimi. Gazi Kitapevi.
  • Koçoğlu, Ş., Çevik, Y. E., & Tanrıöven, C. (2016). Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı. İşletme Araştırmaları Dergisi, 8(2), 77-97.
  • Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence From A Simple Specification Test. The Review of Financial Studies, 1(1), 41-66.
  • McMillan, D. G., & Thupayagale, P. (2008). Efficiency of the South African Equity Market. Applied Financial Economics Letters, 4(5), 327-330.
  • Nabilou, H., & Prüm, A. (2019). Central Banks and Regulation of Cryptocurrencies. Review of Banking and Financial Law. 39, 1003.
  • Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 150, 6-9.
  • Nakamoto, S. (2008). Bitcoin: A Peer-To-Peer Electronic Cash System. Decentralized Business Review, 21260.
  • Phillips, P. C., & Perron, P. (1988). Testing for A Unit Root In Time Series Regression. Biometrika, 75(2), 335-346.
  • Shaker, A. T. M. (2013). Testing The Weak-Form Efficiency of The Finnish and Swedish Stock Markets. European Journal of Business and Social Sciences, 2(9), 176-185. Simons, D. N., & Laryea, S. (2005). Testing The Efficiency of African Markets. Available at SSRN 874808.
  • Singh, J. E., Babshetti, V., & Shivaprasad, H. N. (2021). Efficient Market Hypothesis to Behavioral Finance: A Review of Rationality to Irrationality. Materials Today: Proceedings.
  • Statista. (2021). Number of Cryptocurrencies Worldwide from 2013 to February 2022. https://www.statista.com/statistics/863917/number-crypto-coins-tokens/ Erişim Tarihi: 01/02/2022.
  • Urquhart, A. (2016). The Inefficiency of Bitcoin. Economics Letters, 148, 80-82.
  • Urrutia, J. L. (1995). Tests of Random Walk And Market Efficiency For Latin American Emerging Equity Markets. Journal of Financial Research, 18(3), 299-309.
  • Vidal-Tomas, D. & Ibanez, A. (2018). Semi-Strong Efficiency Of Bitcoin. Finance Research Letters, 27, 259-265.
  • Yılmaz, F. & Akkaya, G. (2020). Kripto Para Piyasalarında Etkinlik; Haftanın Günü Etkisi: Bitcoin ve Litecoin Örneği. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178.
  • Yücel, Ö. (2016). Finansal Piyasa Etkinliği: Borsa İstanbul Üzerine Bir Uygulama. International Review of Economics and Management, 4(3), 107-123.

Zayıf Form Etkinlik ve Kripto Para Piyasası

Year 2022, , 177 - 196, 27.04.2022
https://doi.org/10.33203/mfy.1084658

Abstract

Bu çalışmanın amacı kripto para piyasasının rassal yürüyüş hipotezine göre zayıf form etkin piyasa olup olmadığını test etmektir. Bu çalışmada işlem hacmi en yüksek yedi kripto paraya ait 02.01.2018 ile 18.08.2021 tarihleri arasındaki günlük getiri serisi kullanılmıştır. Zayıf form etkin piyasa hipotezi normallik testi, birim kök testleri, koşu testi ve varyans oran testi analiz yöntemleri ile test edilmiştir. Yapılan testler sonucunda serilerin normal dağılıma sahip olmadıkları, durağan oldukları, seride zamansal bağımsızlığın olmadığı ve serinin rassal davranışa sahip olmadığı şeklinde ifade edilebilecek sonuçlara varılmıştır. Bu sonuçlar bize kripto para piyasasının zayıf form etkin bir piyasa olmadığını göstermektedir.

References

  • Afego, P. (2012). Weak Form Efficiency of The Nigerian Stock Market: An Empirical Analysis (1984-2009). International Journal of Economics and Financial Issues, 2(3), 340-347.
  • Alam, S. (2017). Testing The Weak Form of An Efficient Market In Cryptocurrency. Journal of Engineering and Applied Sciences, 12(9), 2285-2288.
  • Brooks, C. (2008), Introductory Econometrics for Finance, New York: Cambridge University Press.
  • Bech, M. L., & Garratt, R. (2017). Central Bank Cryptocurrencies. BIS Quarterly Review September. 55-70.
  • Charles, A., Darne, O., & Kim, J. H. (2011). Small Sample Properties of Alternative Tests For Martingale Difference Hypothesis. Economics Letters, 110(2), 151-154.
  • Claeys, G., Demertzis, M., & Efstathiou, K. (2018). Cryptocurrencies and Monetary Policy (No. 2018/10). Bruegel Policy Contribution.
  • Coinmarketcap. Today’s Cryptocurrency Prices by Market. https://coinmarketcap.com/ Erişim Tarihi: 21.09.2021.
  • Copeland, T. E., & Weston, J. F. (1988). Financial Theory and Corporate Policy, 3-rd ed. Addison-Wesley.
  • Erdoğan, N. K. (2018). New Approaches to the Measurement of Market Efficiency and Market Efficiency Analysis of Crypto Currencies. Journal of Current Researches on Business and Economics, 8(2), 289-300.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of The Estimators For Autoregressive Time Series With A Unit Root. Journal of the American Statistical Association, 74(366a), 427-431.
  • Güleç, T. C. & Aktaş, H. (2019). Kripto Para Birimi Piyasalarında Etkinliğin Uzun Hafıza ve Değişen Varyans Özelliklerinin Testi Yoluyla Analizi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(2), 491-510.
  • Fama, E., (1965). The Behaviour of Stock Market Prices. Journal of Business, 38, 34 – 104.
  • Fama, E., (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, 383 – 417.
  • Hailu, S. M., & Vural, G. (2020). Testing The Weak Form Market Efficiency of Borsa Istanbul: An Empirical Evidence From Turkish Banking Sector Stocks. Journal of Economics Finance and Accounting, 7(3), 236-249.
  • Hamid, K., Suleman, M.K., Ali Shah, S.Z., & Imdad Akkash, R., (2010). Testing The Weak Form of Efficient Market Hypothesis: Empirical Evidence From Asia-Pacific Markets. International Research Journal of Finance and Economics, 58, 121-133.
  • Hawaldar, I. T., Rajesha, T. M., & Souza, L. J. D. (2019). Testing The Weak Form of Efficiency of Cryptocurrencies: A Case Study of Bitcoin and Litecoin. International Journal of Scientific & Technology Research, 8(9), 2301-2305.
  • Kang, H. J., Lee, S. G., & Park, S. Y. (2021). Information Efficiency in the Cryptocurrency Market: The Efficient-Market Hypothesis. Journal of Computer Information Systems, 1-10.
  • Karan, M. B. (2004). Yatırım Analizi ve Portföy Yönetimi. Gazi Kitapevi.
  • Koçoğlu, Ş., Çevik, Y. E., & Tanrıöven, C. (2016). Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı. İşletme Araştırmaları Dergisi, 8(2), 77-97.
  • Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence From A Simple Specification Test. The Review of Financial Studies, 1(1), 41-66.
  • McMillan, D. G., & Thupayagale, P. (2008). Efficiency of the South African Equity Market. Applied Financial Economics Letters, 4(5), 327-330.
  • Nabilou, H., & Prüm, A. (2019). Central Banks and Regulation of Cryptocurrencies. Review of Banking and Financial Law. 39, 1003.
  • Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 150, 6-9.
  • Nakamoto, S. (2008). Bitcoin: A Peer-To-Peer Electronic Cash System. Decentralized Business Review, 21260.
  • Phillips, P. C., & Perron, P. (1988). Testing for A Unit Root In Time Series Regression. Biometrika, 75(2), 335-346.
  • Shaker, A. T. M. (2013). Testing The Weak-Form Efficiency of The Finnish and Swedish Stock Markets. European Journal of Business and Social Sciences, 2(9), 176-185. Simons, D. N., & Laryea, S. (2005). Testing The Efficiency of African Markets. Available at SSRN 874808.
  • Singh, J. E., Babshetti, V., & Shivaprasad, H. N. (2021). Efficient Market Hypothesis to Behavioral Finance: A Review of Rationality to Irrationality. Materials Today: Proceedings.
  • Statista. (2021). Number of Cryptocurrencies Worldwide from 2013 to February 2022. https://www.statista.com/statistics/863917/number-crypto-coins-tokens/ Erişim Tarihi: 01/02/2022.
  • Urquhart, A. (2016). The Inefficiency of Bitcoin. Economics Letters, 148, 80-82.
  • Urrutia, J. L. (1995). Tests of Random Walk And Market Efficiency For Latin American Emerging Equity Markets. Journal of Financial Research, 18(3), 299-309.
  • Vidal-Tomas, D. & Ibanez, A. (2018). Semi-Strong Efficiency Of Bitcoin. Finance Research Letters, 27, 259-265.
  • Yılmaz, F. & Akkaya, G. (2020). Kripto Para Piyasalarında Etkinlik; Haftanın Günü Etkisi: Bitcoin ve Litecoin Örneği. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178.
  • Yücel, Ö. (2016). Finansal Piyasa Etkinliği: Borsa İstanbul Üzerine Bir Uygulama. International Review of Economics and Management, 4(3), 107-123.
There are 33 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Süleyman Açıkalın 0000-0002-9634-3897

İlker Sakınç 0000-0002-9549-8563

Publication Date April 27, 2022
Submission Date February 11, 2022
Published in Issue Year 2022

Cite

APA Açıkalın, S., & Sakınç, İ. (2022). Zayıf Form Etkinlik ve Kripto Para Piyasası. Maliye Ve Finans Yazıları(117), 177-196. https://doi.org/10.33203/mfy.1084658

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.