Testing the Market Efficiency in Crypto Currency Markets Using Long-Memory and Heteroscedasticity Tests

Year 2019, Volume: 14 Issue: 2, 491 - 510, 30.08.2019

Tuna Can Güleç , Hüseyin Aktaş

https://doi.org/10.17153/oguiibf.520679

Cited By: 9

Abstract

The purpose of this study is to shed light on the critical points of the
future of the crypto currency market by evaluating the price movements and
market efficiency. In this context, efficiency structure of the market has been
tested for long-memory and heteroscedasticity characteristics. The relationship
between market depth and volatility structure has been tested for 8 crypto
currencies using asymmetrical GARCH models. Results of the analysis indicate presence
of long-memory characteristics. Additionally, that as market volume increases
so does the efficiency of the market.  Therefore,
it is concluded that the market efficiency increases with the market depth for
all tested crypto currencies. This study contributes to the literature by
pointing out the signals about the future of the crypto currency markets, which
is one of the most controversial issues in the current finance literature.

Keywords

Finance, Cryptocurrency, Fintech, GARCH

Kripto Para Birimi Piyasalarında Etkinliğin Uzun Hafıza Ve Değişen Varyans Özelliklerinin Testi Yoluyla Analizi

Abstract

Çalışmanın
amacı, kripto para birimi piyasalarındaki fiyat hareketlerini etkinlik
açısından değerlendirerek piyasanın geleceğine dair kritik noktalara ışık
tutmaktır. Bu kapsamda piyasa etkinliğine dair uzun hafıza ve değişen varyans
özellikleri test edilmiştir. Piyasa derinliği ve volatilite yapısı arasındaki
ilişki, 8 kripto para birimi için asimetrik GARCH modelleri kullanılarak
incelenmiştir. Analiz bulguları, kripto para piyasalarında uzun hafıza özelliğinin
varlığını ortaya koymaktadır. Buna ek olarak, elde edilen bulgulara göre, tüm
kripto para birimleri için işlem hacmi arttıkça volatilitede azalma gözlemlenmektedir.
Dolayısıyla, piyasa etkinliğinin tüm kripto para birimleri için piyasa
derinliğiyle birlikte arttığı sonucuna ulaşılmaktadır. Bu çalışma, güncel
finans literatürünün en tartışmalı konularından birisi olan kripto para piyasalarının
geleceğine dair sinyallere işaret etme aracılığıyla literatüre katkı
sağlamaktadır.

Keywords

Finans, Kripto para, Fintek, GARCH

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