International Journal of Finance & Economics

Volume 29, Issue 2 pp. 1569-1580

RESEARCH ARTICLE

Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship

Pradipta Kumar Sahoo,

Pradipta Kumar Sahoo

[email protected]

orcid.org/0000-0001-9670-2004

Faculty of Business and Law, Swinburne University of Technology, Hawthorn, Victoria, Australia

School of Social Financial and Human Sciences, KIIT Deemed to be University, Bhubaneswar, India

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Dinabandhu Sethi,

Corresponding Author

Dinabandhu Sethi

[email protected]

orcid.org/0000-0002-4571-212X

Department of Liberal Arts, Indian Institute of Technology Hyderabad, Hyderabad, India

Correspondence

Dinabandhu Sethi, Department of Liberal Arts, Indian Institute of Technology Hyderabad, India.

Email: [email protected]

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Pradipta Kumar Sahoo,

Pradipta Kumar Sahoo

[email protected]

orcid.org/0000-0001-9670-2004

Faculty of Business and Law, Swinburne University of Technology, Hawthorn, Victoria, Australia

School of Social Financial and Human Sciences, KIIT Deemed to be University, Bhubaneswar, India

Search for more papers by this author

Dinabandhu Sethi,

Corresponding Author

Dinabandhu Sethi

[email protected]

orcid.org/0000-0002-4571-212X

Department of Liberal Arts, Indian Institute of Technology Hyderabad, Hyderabad, India

Correspondence

Dinabandhu Sethi, Department of Liberal Arts, Indian Institute of Technology Hyderabad, India.

Email: [email protected]

Search for more papers by this author

First published: 19 December 2022

https://doi.org/10.1002/ijfe.2744

Citations: 5

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Abstract

Cryptocurrencies have emerged as an important investment avenue in the past few years. Investors are increasingly interested in these currencies amid surging financial returns. In this context, understanding market efficiency of cryptocurrency has become very crucial for investors and academicians. The price–volume framework is a popular approach in financial economics to understand the market efficiency of stocks in the stock markets. Therefore, this article examines the market efficiency of cryptocurrencies through price–volume framework to understand whether crypto market is predictable. Towards this objective, data on both return and trading volume (TV) of the top eight cryptocurrencies are used for the period 8 August 2015–20 October 2022. As an empirical method, both linear and non-linear causality models are used to validate the hypothesis. Our results confirm that TV cannot predict the cryptocurrencies' return, thereby validating the market efficiency hypothesis. Furthermore, we divide the sample according to the structural break period. The result from the post-break period analysis also confirms the presence of market efficiency in the recent period for all currencies, barring XRP, XMR and DASH.

CONFLICT OF INTEREST

The authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this article.

Open Research

DATA AVAILABILITY STATEMENT

The data that support the findings of this study are available on request from the corresponding author. The data are not publicly available due to privacy or ethical restrictions.

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Volume29, Issue2

April 2024

Pages 1569-1580

Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship

Abstract

CONFLICT OF INTEREST

Open Research

DATA AVAILABILITY STATEMENT

REFERENCES

Citing Literature

References

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Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship

Abstract

CONFLICT OF INTEREST

Open Research

DATA AVAILABILITY STATEMENT

REFERENCES

Citing Literature

References

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