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Journals / Journal of Sustainable Economics and Management Studies / 2021 / Cilt: 2 Sayı: 2

Should We Expect Bitcoin Markets to Be Efficient?

Sema DUBE
Hayati ŞAHİN
Pages
69–81
Publication Date
2023-03-22
DOI
—
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AI Summary & Key Takeaways

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

If related to tax considerations, this situation could change as various jurisdictions start to enforce tax regulations for cryptocurrencies.

📌 3 Key Takeaways

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Objective & Hypothesis:We investigate whether Bitcoin markets demonstrate month-of-the-year effects, and whether such anomalies are present across markets that differ in terms of fees, trading requirements, size as well as the extent of legal support in their host countries.
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Key Findings & Data:We use monthly return data for the period of 2015-2018 for Bitfinex, Bitstamp and Okcoin and find that returns were similar across the markets suggesting lack of internal frictions, and that all three Bitcoin markets showed a positive effect in December and a negative effect in January, followed by a positive effect in February.
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Conclusion & Impact:If related to tax considerations, this situation could change as various jurisdictions start to enforce tax regulations for cryptocurrencies.
🔬Design:Research Article
📍Scope:2015-2018 Verileri
⚙️Variables:Bitcoin · Efficient Markets Theory · Month-of-the-Year Effect

Abstract

We investigate whether Bitcoin markets demonstrate month-of-the-year effects, and whether such anomalies are present across markets that differ in terms of fees, trading requirements, size as well as the extent of legal support in their host countries. We use monthly return data for the period of 2015-2018 for Bitfinex, Bitstamp and Okcoin and find that returns were similar across the markets suggesting lack of internal frictions, and that all three Bitcoin markets showed a positive effect in December and a negative effect in January, followed by a positive effect in February. One explanation for the anomalies in the Bitcoin markets could be spillovers from the seasonal anomalies in broader markets, such as those posited by tax-loss or portfolio rebalancing hypotheses, which could result in some investors selling equity in December and repurchasing it in January and parking the proceeds in Bitcoin in the interim. If related to tax considerations, this situation could change as various jurisdictions start to enforce tax regulations for cryptocurrencies.

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Cite This Article

DUBE, S., ŞAHİN, H. (2023). Should We Expect Bitcoin Markets to Be Efficient?. Journal of Sustainable Economics and Management Studies, Cilt: 2 Sayı: 2, 69–81. https://ajindex.com/articles/970490

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