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- W2990327424 abstract "• We estimate the Tran and Leirvik (2019) AMIM measure of market efficiency for five cryptocurrencies. • We find that the AMIM varies substantially over time. • The cryptocurrency market has become more efficient recently. • In our sample, Litecoin is, on average, the most efficient currency, while Ripple is the least efficient. We show that the level of market-efficiency in the five largest cryptocurrencies is highly time-varying. Specifically, before 2017, cryptocurrency-markets are mostly inefficient. This corroborates recent results on the matter. However, the cryptocurrency-markets become more efficient over time in the period 2017–2019. This contradicts other, more recent, results on the matter. One reason is that we apply a longer sample than previous studies. Another important reason is that we apply a robust measure of efficiency, being directly able to determine if the efficiency is significant or not. On average, Litecoin is the most efficient cryptocurrency, and Ripple being the least efficient cryptocurrency." @default.
- W2990327424 created "2019-12-05" @default.
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- W2990327424 date "2020-07-01" @default.
- W2990327424 modified "2023-10-17" @default.
- W2990327424 title "Efficiency in the markets of crypto-currencies" @default.
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- W2990327424 doi "https://doi.org/10.1016/j.frl.2019.101382" @default.
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