Market Efficiency and Price Integration in the Malaysian Bitcoin Market

Abstract

This study examines the weak-form efficiency and international price integration of Malaysia’s regulated Bitcoin market. Daily closing prices for Bitcoin traded in Malaysian ringgit (BTC/MYR), the international Bitcoin price in US dollars (BTC/USD), and the USD/MYR exchange rate are analysed over the 2021–2026 period using secondary market data. The international Bitcoin price is converted into ringgit to provide a currency-consistent benchmark for the local market. Random-walk behaviour is evaluated using the runs test, Ljung–Box test and variance-ratio test. Market integration is examined through unit-root tests, Engle–Granger cointegration analysis and an error-correction model. The daily results provide mixed evidence regarding weak-form efficiency. Although the runs test does not reject randomness in return signs, the Ljung–Box and variance-ratio results indicate dependence at selected horizons. This dependence becomes weaker in the weekly analysis, suggesting that the efficiency assessment is sensitive to data frequency. The local and international Bitcoin prices are cointegrated, with a long-run coefficient close to unity. The error-correction results further show that deviations from the long-run relationship are corrected over time and that international Bitcoin returns significantly influence short-run local price movements. Nevertheless, a small local price premium and residual volatility clustering remain. Overall, Malaysia’s Bitcoin market is closely integrated with the international market but is not perfectly efficient at all horizons. The findings support policies promoting transparent benchmark pricing, market surveillance, adequate liquidity and volatility-risk controls among Malaysian digital asset exchanges.