Analyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies: Insights from the Fourier non-linear quantile unit root approach

被引：5

作者：

Kilic, Emre ^{[1
]}

Yavuz, Ersin ^{[2
]}

Pazarci, Sevket ^{[3
]}

Kar, Asim ^{[4
]}

机构：

[1] Nisantasi Univ, Dept Capital Markets & Portfolio Management, Istanbul, Turkiye

[2] Pamukkale Univ, Dept Publ Finance, Denizli, Turkiye

[3] Istanbul Nisantasi Univ, Dept Finance & Banking, Istanbul, Turkiye

[4] Pamukkale Univ, Dept Int Trade & Finance, Denizli, Turkiye

来源：

FINANCE RESEARCH LETTERS | 2023年 / 58卷

关键词：

Cryptocurrency; EMH; Smooth breaks; Non-linearity; Quantile unit root; BITCOIN; INEFFICIENCY; MEMORY;

D O I：

10.1016/j.frl.2023.104528

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test the efficient market hypothesis (EMH) in Bitcoin (BTC) and Ethereum (ETH) using the further Fourier nonlinear quantile (FNQKS) unit root test by Bahmani-Oskooee et al. (2020). While conventional tests support EMH in the cryptocurrency market, the FNQKS unit root test does not support EMH. Considering non-linearity, Fourier breaks, and non-normal distribution in BTC and ETH exhibit asymmetric persistence. This allows investors to make adjustments to their portfolios in response to both negative and positive shocks.

引用

页数：6

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