Weak Form Efficiency and Cryptocurrency Market

Year 2022, Issue: 117, 177 - 196, 27.04.2022

Süleyman Açıkalın İlker Sakınç

https://doi.org/10.33203/mfy.1084658

Cited By: 1

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.

Keywords

Efficient Market Hypothesis, Weak Form Efficiency, Cryptocurrencies

Zayıf Form Etkinlik ve Kripto Para Piyasası

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.

Keywords

Etkin Piyasa Hipotezi, Zayıf Form Etkinlik, Kripto Para Piyasası

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