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Testing the Efficient Market Hypothesis: An Empirical Analysis of Cryptocurrency Market Efficiency

DOI : https://doi.org/10.36349/easjebm.2020.v03i12.0001

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In this paper, we use efficient market testing to investigate the information sharing among the cryptocurrency markets with a view to examining the market efficiency of the cryptocurrencies. In order to analyzed interpret data, ten cryptocurrencies were taken and the study period covers one year from 8th July 2018 to 8th July 2020. The data collected denote daily prices. The following four tools were applied for the present study. Firstly, the unit root test was used in contemplation of find the stationarity of time series. Secondly, summary statistics, thirdly autocorrelation and finally a run test were used. The empirical findings based on the current study analyze that cryptocurrencies market does not take any random walk as the cryptocurrencies market has a weak-form which is inefficient.

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