Non-random walk in cryptocurrency: An empirical analysis of bitcoin

Abstract

The current study has examined the informational efficiency of market leader of cryptocurrency i.e, Bitcoin. The daily, weekly and monthly prices of Bitcoin have been used for analysis from 2013 to 2017. The information efficiency has been investigated by using different tests of random walk both parametric and non-parametric. The results indicate the Bitcoin returns are not weak form efficient and the element of random walk is not there. Hence, the investors have an opportunity to beat the market by using technical trading and get abnormal returns from the predictability of Bitcoin prices.