Information Efficiency in the Cryptocurrency Market:The Efficient-Market Hypothesis

This study tested the efficient-market hypothesis (EMH) to examine information efficacy in the cryptocurrency market. We conducted three random walk tests to verify the weak-form EMH and used the event study method to test the semi-strong-form EMH. The analysis results demonstrated that 54 (6.04%) of the total of 893 cryptocurrency units satisfied the weak-form EMH, and 24 (2.695%) met the semi-strong market hypothesis. Furthermore, we found that, among the cryptocurrency exchanges that were established before November 2017, large size exchanges were more likely to satisfy the weak- and semi-strong-form EMHs.