The IUP Journal of Applied Economics
On the Informational Efficiency of the Cryptocurrency Market

Article Details
Pub. Date : Jan, 2020
Product Name : The IUP Journal of Applied Economics
Product Type : Article
Product Code : IJAE30120
Author Name : Anoop S Kumar, Thota Nagaraju, Taufeeq Ajaz
Availability : YES
Subject/Domain : Economics
Download Format : PDF Format
No. of Pages : 10



Using daily returns of the cryptocurrency market index (CRIX), the present study tests for weak form efficiency in the cryptocurrency market using a battery of methods. First, weak form efficiency is checked using three statistical tests. The test results provide overall evidence in support of weak form efficiency. Next, the possibility of the adaptive nature of cryptocurrency markets is tested using the proposed Adaptability Index (AI). The results show that cryptocurrency markets are adaptive in nature. Further, the fractal structure of the cryptocurrency market is established using wavelet power spectrum method.


Ever since its inception in 2009, Bitcoin has been attracting attention both from the investor and the academic community. After the initial sluggishness, Bitcoin prices picked up momentum during the last few years. This ultimately resulted in the generation of a new asset class, namely, cryptocurrencies. Presently there are over 2,000 cryptocurrencies traded across various exchanges1. Although cryptocurrencies may have arguably failed to present themselves as an alternative to fiat currencies (Smith and Kumar, 2018), they are increasingly coming up as an important element of the global financial system as an asset class.

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