- Title
- Testing the efficient market hypothesis in the cryptocurrency market
- Creator
- Apopo, Natalya Camilla
- Subject
- Digital currency
- Date Issued
- 2019
- Date
- 2019
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- http://hdl.handle.net/10948/42427
- Identifier
- vital:36662
- Description
- Digital currencies are rising in popularity owing to their purported benefits and the speculative profits that investors are making in the market. These currencies, though decentralised in substance, can be purchased using digital wallets from cryptocurrency exchange platforms around the world. In Africa, these platforms are still at the nascent stages of growth and development, but evidence suggests a burgeoning potential in these markets. Volatility in these markets has been a topic of concern for many empirical investigations with most finding corroborative evidence of excess volatility in the digital currency market. However, there is a conflicting body of evidence when it comes to the studies evaluating the efficiency of the virtual currency market. The efficient market hypothesis ( EMH)is a controversial theory in finance. Proponents argue that it provides a basis for understanding financial markets whereas opponents suggest that the hypothesis is premature in its assumptions of the real functioning of these markets. Though not perfect, the efficient markets model provides a sufficient baseline against which capital markets may be analysed. Besides being one of the most empirically investigated theories in finance, its utility led to the development of later models such as the capital asset pricing model. In postulating that the prices of securities reflect all available information in capital markets, the efficient markets theory lends itself to testing the efficacy levels of the cryptocurrency market. For the purposes of this study, the weak version of the efficient markets theory was evaluated as itis considered the lowest possible form of efficiency attainable. Using both linear and nonlinear unit root testing methodologies, a significant subset of the cryptocurrency market was investigated for inefficiencies via the null hypothesis of non-stationarity. There were mixed results from the testing process, but a substantial portion of the currencies investigated rejected the null of a unit root in favour of stationarity, providing some evidence against weak form efficiency. For these reasons, it is recommended that further research be conducted in the virtual currency markets to offer more conclusive findings.
- Format
- ix, 171 leaves
- Format
- Publisher
- Nelson Mandela University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela University
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| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | NATALYA CAMILLA APOPO.pdf | 2 MB | Adobe Acrobat PDF | View Details Download |