ABSTRACT

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.

中文翻译：

---

加密货币市场的信息效率：有效市场假说

摘要

本研究测试了有效市场假说 (EMH)，以检验加密货币市场中的信息有效性。我们进行了三个随机游走测试来验证弱式 EMH，并使用事件研究方法来测试半强式 EMH。分析结果表明，在 893 个加密货币单位中，有 54 个（6.04%）满足弱式 EMH，24 个（2.695%）满足半强市场假设。此外，我们发现，在 2017 年 11 月之前成立的加密货币交易所中，大型交易所更有可能满足弱型和半强型 EMH。