Conference Program Home
  My Program

All Times EDT

Abstract Details

Activity Number: 389 - Novel Data Collection Strategies in Business and Economics
Type: Contributed
Date/Time: Wednesday, August 10, 2022 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #320761
Title: The Maturity of Cryptocurrency Markets: A Market Efficiency Test Based on Trading Strategies
Author(s): Jeffrey Chu*
Companies: Renmin University of China
Keywords: bitcoin; ethereum; cryptocurrency; market efficiency; trading strategy
Abstract:

This paper assesses the maturity of the cryptocurrency market from the perspective of market efficiency by testing trading strategies. A rigorous research design is proposed for testing whether trading strategies can successfully generate abnormal returns. Our research design relies on three pillars: 1) fundamental tests to gauge the information content in the trading strategies; 2) predictability tests of trading strategies adjusted with risk; and 3) profitability tests of trading strategies considering explicit and implicit transaction costs. Focusing on a common technical analysis based on price patterns, we apply our research design to the cryptocurrency market (Bitcoin, Ethereum and Litecoin) and find that such trading strategies do not convey significant information, do not provide economic performance and are not profitable after accounting for transaction costs. This result is surprising because the cryptocurrency market is in its infancy.


Authors who are presenting talks have a * after their name.

Back to the full JSM 2022 program