Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/54988
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dc.contributor.authorKılıç, Emre-
dc.contributor.authorYavuz, Ersin-
dc.contributor.authorPazarcı, Şevket-
dc.contributor.authorKar, Asım-
dc.date.accessioned2023-11-18T09:57:47Z-
dc.date.available2023-11-18T09:57:47Z-
dc.date.issued2023-
dc.identifier.issn1544-6123-
dc.identifier.issn1544-6131-
dc.identifier.urihttps://doi.org/10.1016/j.frl.2023.104528-
dc.identifier.urihttps://hdl.handle.net/11499/54988-
dc.description.abstractWe 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.en_US
dc.language.isoenen_US
dc.publisherAcademic Press Inc Elsevier Scienceen_US
dc.relation.ispartofFinance Research Lettersen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCryptocurrencyen_US
dc.subjectEMHen_US
dc.subjectSmooth breaksen_US
dc.subjectNon-linearityen_US
dc.subjectQuantile unit rooten_US
dc.subjectBitcoinen_US
dc.subjectInefficiencyen_US
dc.subjectMemoryen_US
dc.titleAnalyzing the efficient market hypothesis with asymmetric persistence in cryptocurrencies: Insights from the Fourier non-linear quantile unit root approachen_US
dc.typeArticleen_US
dc.identifier.volume58en_US
dc.departmentPamukkale Universityen_US
dc.identifier.doi10.1016/j.frl.2023.104528-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.authorscopusid57222052964-
dc.authorscopusid57258135300-
dc.authorscopusid58221714300-
dc.authorscopusid58220178400-
dc.identifier.scopus2-s2.0-85172925180en_US
dc.identifier.wosWOS:001087093600001en_US
dc.institutionauthor…-
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.dept08.05. Finance-
crisitem.author.dept08.07. International Trade and Finance-
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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