Analyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies: Insights from the Fourier non-linear quantile unit root approach

Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/54988

Title:	Analyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies: Insights from the Fourier non-linear quantile unit root approach
Authors:	Kılıç, Emre Yavuz, Ersin Pazarcı, Şevket Kar, Asım
Keywords:	Cryptocurrency EMH Smooth breaks Non-linearity Quantile unit root Bitcoin Inefficiency Memory
Publisher:	Academic Press Inc Elsevier Science
Abstract:	We test the efficient market hypothesis (EMH) in Bitcoin (BTC) and Ethereum (ETH) using the further Fourier nonlinear quantile (FNQKS) unit root test by Bahmani-Oskooee et al. (2020). While conventional tests support EMH in the cryptocurrency market, the FNQKS unit root test does not support EMH. Considering non-linearity, Fourier breaks, and non-normal distribution in BTC and ETH exhibit asymmetric persistence. This allows investors to make adjustments to their portfolios in response to both negative and positive shocks.
URI:	https://doi.org/10.1016/j.frl.2023.104528 https://hdl.handle.net/11499/54988
ISSN:	1544-6123 1544-6131
Appears in Collections:	İktisadi ve İdari Bilimler Fakültesi Koleksiyonu Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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