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Assessing the predictability of cryptocurrency prices

Abdul Rahim, Ruzita and Pick, Soon Ling and Mohd Khalid, Muhammad Airil Syafiq (2021) Assessing the predictability of cryptocurrency prices. Malaysian Management Journal, 25. pp. 143-168. ISSN 0128-6226

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The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Application, Payment, Privacy, Platform, and Utility. Two market efficiency tests (Ljung-Box autocorrelation and Runs tests) were run on the daily returns of the 52 unique cryptocurrencies and the MSCI World index from 28 April 2013 to 30 June 2019. The results showed that Bitcoin was consistently efficient, whereas most of the other cryptocurrencies and even the MSCI World index were not, implying that their prices were predictable. Categorically, Payment altcoins were the most consistent in showing inefficiency. Since altcoins in this category also recorded the third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance of exploiting the market information to make extremely high abnormal returns.

Item Type: Article
Uncontrolled Keywords: Cryptocurrency market efficiency, cryptocurrency predictability, cryptocurrency types, Payment altcoins, Platform altcoins
Subjects: H Social Sciences > HG Finance
Divisions: College of Business
Depositing User: Mrs Nurin Jazlina Hamid
Date Deposited: 30 Nov 2022 08:20
Last Modified: 17 May 2023 14:34

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