Equilibrium in Asset Prices: Evidence from Cryptocurrencies

6533b85dfe1ef96bd12be6e6

RESEARCH PRODUCT

Equilibrium in Asset Prices: Evidence from Cryptocurrencies

Klaus Grobys Klaus Grobys Niranjan Sapkota

subject

Market capitalization Cryptocurrency Cointegration Market efficiency Economics Asset (economics)Monetary economics

description

Employing daily data on ten cryptocurrencies that exhibit the highest market capitalization, we find one instance of cointegration equilibrium in the 2016 2018 period. Contrary to earlier studies that report cryptocurrency markets are developing toward market efficiency, our findings suggest that even the most liquid cryptocurrency markets are inefficient.

year	journal	country	edition	language
2019-01-01	SSRN Electronic Journal

https://doi.org/10.2139/ssrn.3407147

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