{"title":"LONG-RANGE CORRELATIONS AND CRYPTOCURRENCY MARKET EFFICIENCY","authors":"Jelena Radojičić, O. Radović","doi":"10.22190/fueo221121005r","DOIUrl":null,"url":null,"abstract":"This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of return volatility.We compare the characteristics of cryptocurrency returns with the returns on stocks of the most important companies producing hardware components for cryptocurrency mining. The correlation of returns, trading volume and volatility between cryptocurrencies and selected stocks is tested using a Granger causality test. The research results reject the efficient market hypothesis and show that the cryptocurrency market is a completely new speculative market that is weakly correlated with the stock market.","PeriodicalId":31607,"journal":{"name":"Facta Universitatis Series Economics and Organization","volume":"72 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Facta Universitatis Series Economics and Organization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22190/fueo221121005r","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of return volatility.We compare the characteristics of cryptocurrency returns with the returns on stocks of the most important companies producing hardware components for cryptocurrency mining. The correlation of returns, trading volume and volatility between cryptocurrencies and selected stocks is tested using a Granger causality test. The research results reject the efficient market hypothesis and show that the cryptocurrency market is a completely new speculative market that is weakly correlated with the stock market.
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