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ABSTRACT
This study tested the efficient-market hypothesis (EMH) to examine information efficacy in the cryptocurrency market. We conducted three random walk tests to verify the weak-form EMH and used the event study method to test the semi-strong-form EMH. The analysis results demonstrated that 54 (6.04%) of the total of 893 cryptocurrency units satisfied the weak-form EMH, and 24 (2.695%) met the semi-strong market hypothesis. Furthermore, we found that, among the cryptocurrency exchanges that were established before November 2017, large size exchanges were more likely to satisfy the weak- and semi-strong-form EMHs.
Acknowledgments
“This research was supported by the MSIT(Ministry of Science and ICT), Korea, under the ITRC(Information Technology Research Center) support program(IITP-2020-2017-0-01628) supervised by the IITP(Institute for Information & communications Technology Promotion)“
Supplementary material
Supplemental data for this article can be accessed online at https://doi.org/10.1080/08874417.2021.1872046