Comparison of Weak Form Informational Efficiency of Cryptocurrencies within the Scope of the Efficient Markets Hypothesis

There are thousands of cryptocurrencies that are defined as subcoin, which emerged thanks to the popularity of Bitcoin produced by Satoshi Nakamoto (2008) based on blockchain. Bitcoin and other subcoins have the monetary value of the encrypted version of the computer record, regardless of any central authority. It is very difficult to estimate the price with this feature. Cryptocurrencies have very low correlations with macroeconomic factors and other monetary policy instruments due to their nature. In particular, the interest of investors who want to make money quickly and easily is focused on Bitcoin and other cryptocurrencies. This focusing situation brought up the issue of price estimation of cryptocurrencies and cryptocurrencies have been the subject of future price estimation study through various analyzes based on past prices. This study seeks to answer questions such as Do cryptocurrencies have weak form informational efficiency?, On which dates do cryptocurrencies have weak form informational efficiency/inefficiency?, and Which cryptocurrencies/currency will increase the chances of success for those who invest in cryptocurrencies using past price movements? In this context, in the study, analyses were carried out using the automatic portmanteau test developed by Escanciano and Lobato (2009) using the daily data of Dollar prices of cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) between 24.08.2016 and 28.02.2020 for the price prediction and investment strategy. As a result of the analyses, it was determined that the weak form informational efficiency of the cryptocurrencies within the scope of the study varies over time and also the cryptocurrency that has the most weak form informational efficiency is Bitcoin.

Keywords

Finance, efficient markets hypothesis, crypto currencies, automatic portmanteau test, weak form ınformational efficiency