Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum
This article sheds new light on the informational efficiency of the cryptocurrency market by analyzing investment strategies based on structural factors related to on-chain data. The study aims to verify whether investors in the cryptocurrency market can outperform passive investment strategies by a...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2022-12-01
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| Series: | International Journal of Management and Economics |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/ijme-2022-0030 |
| _version_ | 1811159393137328128 |
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| author | Łęt Blanka Sobański Konrad Świder Wojciech Włosik Katarzyna |
| author_facet | Łęt Blanka Sobański Konrad Świder Wojciech Włosik Katarzyna |
| author_sort | Łęt Blanka |
| collection | DOAJ |
| description | This article sheds new light on the informational efficiency of the cryptocurrency market by analyzing investment strategies based on structural factors related to on-chain data. The study aims to verify whether investors in the cryptocurrency market can outperform passive investment strategies by applying active strategies based on selected fundamental factors. The research uses daily data from 2015 to 2022 for the two major cryptocurrencies: Bitcoin (BTC) and Ethereum (ETH). The study applies statistical tests for differences. The findings indicate informational inefficiency of the BTC and ETH markets. They seem consistent over time and are confirmed during the COVID-19 pandemic. The research shows that the net unrealized profit/loss and percent of addresses in profit indicators are useful in designing active investment strategies in the cryptocurrency market. The factor-based strategies perform consistently better in terms of mean/median returns and Sharpe ratio than the passive “buy-and-hold” strategy. Moreover, the rate of success is close to 100%. |
| first_indexed | 2024-04-10T05:40:17Z |
| format | Article |
| id | doaj.art-b6c95c73575e48e394ef8c45a9d892cb |
| institution | Directory Open Access Journal |
| issn | 2543-5361 |
| language | English |
| last_indexed | 2024-04-10T05:40:17Z |
| publishDate | 2022-12-01 |
| publisher | Sciendo |
| record_format | Article |
| series | International Journal of Management and Economics |
| spelling | doaj.art-b6c95c73575e48e394ef8c45a9d892cb2023-03-06T10:29:55ZengSciendoInternational Journal of Management and Economics2543-53612022-12-0158435137010.2478/ijme-2022-0030Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and EthereumŁęt Blanka0Sobański Konrad1Świder Wojciech2Włosik Katarzyna3Department of Applied Mathematics, Poznań University of Economics and Business, Poznań, Poland.Department of International Finance, Poznań University of Economics and Business, Poznań, Poland.Department of Public Finance, Poznań University of Economics and Business, Poznań, Poland.Department of Investment and Financial Markets, Poznań University of Economics and Business, Poznań, Poland.This article sheds new light on the informational efficiency of the cryptocurrency market by analyzing investment strategies based on structural factors related to on-chain data. The study aims to verify whether investors in the cryptocurrency market can outperform passive investment strategies by applying active strategies based on selected fundamental factors. The research uses daily data from 2015 to 2022 for the two major cryptocurrencies: Bitcoin (BTC) and Ethereum (ETH). The study applies statistical tests for differences. The findings indicate informational inefficiency of the BTC and ETH markets. They seem consistent over time and are confirmed during the COVID-19 pandemic. The research shows that the net unrealized profit/loss and percent of addresses in profit indicators are useful in designing active investment strategies in the cryptocurrency market. The factor-based strategies perform consistently better in terms of mean/median returns and Sharpe ratio than the passive “buy-and-hold” strategy. Moreover, the rate of success is close to 100%.https://doi.org/10.2478/ijme-2022-0030active strategiescryptocurrencyfundamental factorsinformational efficiencyledoit and wolf testf31g11g15 |
| spellingShingle | Łęt Blanka Sobański Konrad Świder Wojciech Włosik Katarzyna Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum International Journal of Management and Economics active strategies cryptocurrency fundamental factors informational efficiency ledoit and wolf test f31 g11 g15 |
| title | Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum |
| title_full | Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum |
| title_fullStr | Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum |
| title_full_unstemmed | Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum |
| title_short | Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum |
| title_sort | is the cryptocurrency market efficient evidence from an analysis of fundamental factors for bitcoin and ethereum |
| topic | active strategies cryptocurrency fundamental factors informational efficiency ledoit and wolf test f31 g11 g15 |
| url | https://doi.org/10.2478/ijme-2022-0030 |
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