Evaluating Market Efficiency: An Empirical Study of Bitcoin

Abstract

<title>Abstract</title> From the moment of appearance in the global financial system Bitcoin has caused a large number of arguments, disagreements and disputes. Of course, this cryptocurrency has become one of the most cutting-edge inventions of the 21st century beginning. One of the main problems facing the world community is the question of how effective this currency is and if its use is appropriate and lawful, as well as the question of how well Bitcoin fits into the hypothesis of market efficiency. This article discusses the main aspects of Bitcoin cryptocurrency use, as well as its existence and use within the framework of the hypothesis of market efficiency. In order to determine the relationship between Bitcoin and Ethercoin, the stationarity of the variables was tested with classical unit root tests (ADF, PP) and structural break unit root tests (Lee &amp; Strazicich). Although the variables were integrated to the same degree, there was no long-term relationship between them according to the Hatami-J (2008) cointegration test and market was determined that active in strong form. The short-run asymmetric causality relationship between Bitcoin and Ethercoin the was revealed by Hatemi-J (2012) test. In addition, as part of the article, a large-scale study of domestic and foreign scientific literature on this problem was carried out.