Download This PaperEquilibrium in Asset Prices: Evidence from Cryptocurrencies
23 Pages Posted: 25 Jun 2019
Date Written: April 17, 2019
Abstract
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
Grobys, Klaus and Sapkota, Niranjan, Equilibrium in Asset Prices: Evidence from Cryptocurrencies (April 17, 2019). Available at SSRN: https://ssrn.com/abstract=3407147 or http://dx.doi.org/10.2139/ssrn.3407147
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