Equilibrium in Asset Prices: Evidence from Cryptocurrencies
23 Pages Posted: 25 Jun 2019
Date Written: April 17, 2019
Employing daily data on ten cryptocurrencies that exhibit the highest market capitalization, we find one instance of cointegration equilibrium in the 2016 ̶ 2018 period. Contrary to earlier studies that report cryptocurrency markets are developing toward market efficiency, our findings suggest that even the most liquid cryptocurrency markets are inefficient.
Keywords: Cryptocurrency, Bitcoin, Market Equilibrium, Cointegration
JEL Classification: G1, G12, G14
Suggested Citation: Suggested Citation