ECONOMIC EFFICIENCY AND MARKET BEHAVIOR OF BITCOIN AND ETHEREUM

Abstract

This study investigates the economic efficiency and market behavior of Bitcoin and Ethereum, the two largest cryptocurrencies by market capitalization.Utilizing daily data from August 7, 2016, to February 15, 2023, the research employs the Adjusted Market Inefficiency Magnitude (AMIM) measure and quantile regression analysis to assess time-varying efficiency levels and identify influencing factors.Findings indicate that both markets exhibit periods of efficiency and inefficiency, with Bitcoin demonstrating higher efficiency levels than Ethereum.Key drivers of market inefficiency include global financial stress, liquidity, and the COVID-19 pandemic.The study contributes to understanding the dynamic nature of cryptocurrency markets and provides insights for investors and policymakers.