Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum

Blanka Łęt, Konrad Sobański, Wojciech Świder, Katarzyna Włosik
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引用次数: 1

Abstract

Abstract 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%.
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加密货币市场是否有效?来自比特币和以太坊基本因素分析的证据
本文通过分析基于链上数据相关结构性因素的投资策略,对加密货币市场的信息效率进行了新的阐释。该研究旨在验证加密货币市场的投资者是否可以通过基于选定的基本因素应用主动策略来优于被动投资策略。该研究使用了2015年至2022年两种主要加密货币:比特币(BTC)和以太坊(ETH)的日常数据。该研究对差异进行了统计检验。研究结果表明BTC和ETH市场的信息效率低下。随着时间的推移,它们似乎是一致的,并在COVID-19大流行期间得到了证实。研究表明,利润指标中的净未实现利润/亏损和地址百分比对于设计加密货币市场的主动投资策略非常有用。基于因素的策略在平均/中位数回报和夏普比率方面的表现始终优于被动的“买入并持有”策略。此外,成功率接近100%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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审稿时长
25 weeks
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