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Journals / Turkish Studies - Economics, Finance, Politics / 2020 / Cilt: 15 - Sayı: 4

Comparison of Weak Form Informational Efficiency of Cryptocurrencies within the Scope of the Efficient Markets Hypothesis

Etkin Piyasalar Hipotezi Kapsamında Kripto Paraların Zayıf Form Bilgisel Etkinliklerinin Karşılaştırılması

Oktay ÖZKAN
EYYÜP ENSARİ ŞAHİN
Pages
2393–2406
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

As a result of the analyses, it was determined that the weak form informational efficiency of the cryptocurrencies within the scope of the study varies over time and also the cryptocurrency that has the most weak form informational efficiency is Bitcoin.

📌 3 Key Takeaways

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Objective & Hypothesis:There are thousands of cryptocurrencies that are defined as subcoin, which emerged thanks to the popularity of Bitcoin produced by Satoshi Nakamoto (2008) based on blockchain.
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Key Findings & Data:This study seeks to answer questions such as Do cryptocurrencies have weak form informational efficiency?, On which dates do cryptocurrencies have weak form informational efficiency/inefficiency?, and Which cryptocurrencies/currency will increase the chances of success for those who invest in cryptocurrencies using past price movements?In this context, in the study, analyses were carried out using the automatic portmanteau test developed by Escanciano and Lobato (2009) using the daily data of Dollar prices of cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) between 24.08.2016 and 28.02.2020 for the price prediction and investment strategy.
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Conclusion & Impact:As a result of the analyses, it was determined that the weak form informational efficiency of the cryptocurrencies within the scope of the study varies over time and also the cryptocurrency that has the most weak form informational efficiency is Bitcoin.
🔬Design:Research Article
📍Scope:2008 Verileri
⚙️Variables:Domain Parameters

Abstract

There are thousands of cryptocurrencies that are defined as subcoin, which emerged thanks to the popularity of Bitcoin produced by Satoshi Nakamoto (2008) based on blockchain. Bitcoin and other subcoins have the monetary value of the encrypted version of the computer record, regardless of any central authority. It is very difficult to estimate the price with this feature. Cryptocurrencies have very low correlations with macroeconomic factors and other monetary policy instruments due to their nature. In particular, the interest of investors who want to make money quickly and easily is focused on Bitcoin and other cryptocurrencies. This focusing situation brought up the issue of price estimation of cryptocurrencies and cryptocurrencies havebeen the subject of future price estimation study through various analyzes based on past prices. This study seeks to answer questions such as Do cryptocurrencies have weak form informational efficiency?, On which dates do cryptocurrencies have weak form informational efficiency/inefficiency?, and Which cryptocurrencies/currency will increase the chances of success for those who invest in cryptocurrencies using past price movements?In this context, in the study, analyses were carried out using the automatic portmanteau test developed by Escanciano and Lobato (2009) using the daily data of Dollar prices of cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) between 24.08.2016 and 28.02.2020 for the price prediction and investment strategy. As a result of the analyses, it was determined that the weak form informational efficiency of the cryptocurrencies within the scope of the study varies over time and also the cryptocurrency that has the most weak form informational efficiency is Bitcoin.

Özet

Satoshi Nakamoto (2008) tarafından blok zinciri temelli üretilen Bitcoin’in elde ettiği popülerlik sayesinde ortaya çıkan ve altcoin olarak tanımlanan binlerce kripto para bulunmaktadır. Bitcoin ve diğer altcoinler yapısı itibari ile herhangi bir merkezi otoriteye bağlı olmadanbilgisayar kaydının şifrelenmiş halinin parasal değerini taşımaktadır. Bu özelliği itibari ile fiyat tahmini yapmak oldukça zordur. Kripto paralar yapısı gereği makroekonomik faktörler ve diğer para politikası araçları ile oldukça düşük düzeyde korelasyona sahiptir. Özellikle hızlı ve kolay para kazanmak isteyen yatırımcıların ilgisi Bitcoin ve diğer kripto paralar üzerine odaklanmıştır. Bu odaklanma durumu kripto paraların fiyat tahminlemesi konusunu gündeme getirmiş ve kripto paralar geçmiş fiyatlardan hareketle çeşitli analizler yoluyla gelecek fiyat tahminlemesi çalışmasına konu olmuştur. Bu çalışma kripto paralar zayıf form bilgisel etkinliğe sahip midir? Hangi tarihlerde kripto paralarda zayıf form bilgisel etkinlik/etkinsizlik söz konusudur? Geçmiş fiyatları kullanarak kripto paralara yatırım gerçekleştirenler hangi kripto paraya/paralara yatırım gerçekleştirmesi başarı şansını artıracaktır? şeklindekisorulara cevap aramaktadır. Bu kapsamda çalışmada kripto paraların (Bitcoin, Ethereum, Litecoin ve Ripple) fiyat tahmini ve yatırım stratejisi için 24.08.2016 ile 28.02.2020 tarihleri arasındaki Dolar cinsi fiyatlarına ait günlük veriler kullanılarak Escanciano ve Lobato (2009) tarafından geliştirilen otomatik portmanteau testi ile analizler yapılmıştır.Yapılan analizler sonucunda çalışma kapsamındaki kripto paraların zayıf form bilgisel etkinliklerinin zaman içerisinde değişim gösterdiği ve ayrıca zayıf form bilgisel etkinliğin olduğu gün sayılarına bakıldığında en fazla zayıf form bilgisel etkinliğe sahip olan kripto paranın Bitcoin olduğu belirlenmiştir.

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Cite This Article

ÖZKAN, O., ŞAHİN, E. E. (2020). Comparison of Weak Form Informational Efficiency of Cryptocurrencies within the Scope of the Efficient Markets Hypothesis. Turkish Studies - Economics, Finance, Politics, Cilt: 15 - Sayı: 4, 2393–2406. https://ajindex.com/articles/213749

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