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Applied Economics Letters Volume 26, 2019 - Issue 19
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Articles

Weak efficiency of the cryptocurrency market: a market portfolio approach

David Vidal-TomásDepartment of Economics, Universitat Jaume I, Castellón, SpainView further author information
,
Ana M. IbáñezDepartment of Corporate Finance, University of Valencia, Valencia, SpainView further author information
&
José E. FarinósDepartment of Corporate Finance, University of Valencia, Valencia, SpainCorrespondence[email protected]
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Pages 1627-1633 | Published online: 25 Mar 2019

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Chekwube V. Madichie, Franklin N. Ngwu, Eze A. Eze & Olisaemeka D. Maduka. (2023) Modelling the dynamics of cryptocurrency prices for risk hedging: The case of Bitcoin, Ethereum, and Litecoin. Cogent Economics & Finance 11:1.
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John Kingsley Woode, Peterson Owusu Junior, Anokye M. Adam, Emmanuel Assifuah-Nunoo & Audrey Foriwaa Adjei. (2023) Nexus between cryptocurrencies and global uncertainty: A quantile regression approach. Cogent Economics & Finance 11:2.
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Michael Mark, Jan Sila & Thomas A. Weber. (2022) Quantifying endogeneity of cryptocurrency markets. The European Journal of Finance 28:7, pages 784-799.
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David Vidal-Tomás. (2022) All the frequencies matter in the Bitcoin market: an efficiency analysis. Applied Economics Letters 29:3, pages 212-218.
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D. Vidal-Tomás. (2021) An investigation of cryptocurrency data: the market that never sleeps. Quantitative Finance 21:12, pages 2007-2024.
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Steven E. Kozlowski, Michael R. Puleo & Jizhou Zhou. (2021) Cryptocurrency return reversals. Applied Economics Letters 28:11, pages 887-893.
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Akihiko Noda. (2021) On the evolution of cryptocurrency market efficiency. Applied Economics Letters 28:6, pages 433-439.
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Yi Li, Wei Zhang, Xiong Xiong & Pengfei Wang. (2020) Does size matter in the cryptocurrency market?. Applied Economics Letters 27:14, pages 1141-1149.
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Javier Gutiérrez Castro, Edison Américo Huarsaya Tito, Luiz Eduardo Teixeira Brandão & Leonardo Lima Gomes. (2020) Crypto-assets portfolio optimization under the omega measure. The Engineering Economist 65:2, pages 114-134.
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Articles from other publishers (29)

Hyungjin Ko, Bumho Son & Jaewook Lee. (2024) Portfolio insurance strategy in the cryptocurrency market. Research in International Business and Finance 67, pages 102135.
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Abhishek Poddar, Arun Kumar Misra & Ajay Kumar Mishra. (2023) Return connectedness and volatility dynamics of the cryptocurrency network. Finance Research Letters 58, pages 104334.
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José Almeida & Tiago Cruz Gonçalves. (2023) Cryptocurrency market microstructure: a systematic literature review. Annals of Operations Research.
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Wei Cui & Cunnian Gao. (2023) WTEYE: On-chain wash trade detection and quantification for ERC20 cryptocurrencies. Blockchain: Research and Applications 4:1, pages 100108.
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Sadeesh J.E. Suresh. 2023. Emerging Insights on the Relationship Between Cryptocurrencies and Decentralized Economic Models. Emerging Insights on the Relationship Between Cryptocurrencies and Decentralized Economic Models 72 85 .
Neetu & Jacqueline Symss. (2023) Can cryptocurrency solve the problem of financial constraint in corporates? A literature review and theoretical perspective. Qualitative Research in Financial Markets.
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Georgios Pavlidis. (2023) International Regulation of Virtual Assets under FATF’s New Standards. SSRN Electronic Journal.
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Savva Shanaev & Binam Ghimire. (2022) A generalised seasonality test and applications for cryptocurrency and stock market seasonality. The Quarterly Review of Economics and Finance 86, pages 172-185.
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Mohammad Ashraful Ferdous Chowdhury, Mohammad Abdullah & Mansur Masih. (2022) COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?. Journal of International Financial Markets, Institutions and Money 81, pages 101691.
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Ruchita Verma, Dhanraj Sharma & Shiney Sam. (2022) Testing of Random Walk Hypothesis in the Cryptocurrency Market. FIIB Business Review, pages 231971452211012.
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Carmen López-Martín, Raquel Arguedas-Sanz & Sonia Benito Muela. (2022) A cryptocurrency empirical study focused on evaluating their distribution functions. International Review of Economics & Finance 79, pages 387-407.
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Mahmoud Qadan, David Y. Aharon & Ron Eichel. (2022) Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies. Finance Research Letters 46, pages 102354.
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Mohammad Javad Shayegan, Hamid Reza Sabor, Mueen Uddin & Chin-Ling Chen. (2022) A Collective Anomaly Detection Technique to Detect Crypto Wallet Frauds on Bitcoin Network. Symmetry 14:2, pages 328.
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Muhammad Owais Qarni & Saiqb Gulzar. (2021) Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets. Financial Innovation 7:1.
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Eunho Koo & Geonwoo Kim. (2021) Prediction of Bitcoin price based on manipulating distribution strategy. Applied Soft Computing 110, pages 107738.
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YING-HUI SHAO, HAN XU, YING-LIN LIU & HAI-CHUAN XU. (2021) MULTIFRACTAL BEHAVIOR OF CRYPTOCURRENCIES BEFORE AND DURING COVID-19. Fractals 29:06, pages 2150132.
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Carmen López-Martín, Sonia Benito Muela & Raquel Arguedas. (2021) Efficiency in cryptocurrency markets: new evidence. Eurasian Economic Review 11:3, pages 403-431.
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Aurelio F. Bariviera & Ignasi Merediz‐Solà. (2021) WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. Journal of Economic Surveys 35:2, pages 377-407.
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Rong Li, Sufang Li, Di Yuan & Huiming Zhu. (2021) Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis. Research in International Business and Finance 56, pages 101389.
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Natalya Apopo & Andrew Phiri. (2021) On the (in)efficiency of cryptocurrencies: have they taken daily or weekly random walks?. Heliyon 7:4, pages e06685.
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Balint Zsolt Nagy & Botond Benedek. (2021) Higher co-moments and adjusted Sharpe ratios for cryptocurrencies. Finance Research Letters 39, pages 101543.
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David Vidal-Tomás, Ana M. Ibáñez & José E. Farinós. (2021) The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach. Mathematics 9:4, pages 413.
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OlaOluwa S. Yaya, Ahamuefula E. Ogbonna, Robert Mudida & Nuruddeen Abu. (2020) Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration . International Journal of Finance & Economics 26:1, pages 1318-1335.
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Xingzhi Qiao, Huiming Zhu & Liya Hau. (2020) Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. International Review of Financial Analysis 71, pages 101541.
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Emmanuel Joel Aikins Abakah, Luis Alberiko Gil-Alana, Godfrey Madigu & Fatima Romero-Rojo. (2020) Volatility persistence in cryptocurrency markets under structural breaks. International Review of Economics & Finance 69, pages 680-691.
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Jying-Nan Wang, Hung-Chun Liu & Yuan-Teng Hsu. (2020) Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?. Finance Research Letters 34, pages 101243.
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Ghulame Rubbaniy, Shoaib Ali, Sonia Abdennadher & Costas Siriopoulos. (2022) Financial Market Determinants of Dynamic Herding in North-American Energy Market. SSRN Electronic Journal.
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Jochen Papenbrock, Peter Schwendner & Philipp Sandner. (2021) Can Adaptive Seriational Risk Parity Tame Crypto Portfolios?. SSRN Electronic Journal.
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Michael Mark, Jan Sila & Thomas A. Weber. (2019) Quantifying Endogeneity of Cryptocurrency Markets. SSRN Electronic Journal.
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