The Inefficiency of Bitcoin

7 Pages Posted: 24 Aug 2016 Last revised: 26 Aug 2016

See all articles by Andrew Urquhart

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: August 24, 2016


Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence reveals that returns are significantly inefficient over our full sample, but when we split our sample into two subsample periods, we find that some tests indicate that Bitcoin is efficient in the latter period. Therefore we conclude that Bitcoin in an inefficient market but may be in the process of moving towards an efficient market.

Keywords: Bitcoin, Market Efficiency, Cryptocurrency, Random Walk

JEL Classification: G14, G12

Suggested Citation

Urquhart, Andrew, The Inefficiency of Bitcoin (August 24, 2016). Available at SSRN: or

Andrew Urquhart (Contact Author)

ICMA Centre, Henley Business School ( email )

University of Reading
Reading, Berkshire RG6 6BA
United Kingdom

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