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Testing the Efficient Market Hypothesis on Bitcoin Exchanges
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The peer-to-peer digital currency Bitcoin has gained increased prominence since its 2008 launch. Economists have not thoroughly studied the currency, however, and researchers have not tested the efficient market hypothesis (EMH) on Bitcoin exchanges despite the abundance of exchanges and trading data. This paper tests for runs in returns and for the day-of-the-week effect that researchers have observed in traditional financial markets as well as whether the moving average convergence/divergence (MACD), relative strength index (RSI), or filter technical trading can outperform a buy-and-hold strategy. Although the trading rules do not outperform the buy-and-hold strategy, a robust day-of-the-week effect emerges and autocorrelation in returns suggestions a violation of the EMH. The mixed results do not definitely answer the question of whether the bitcoin market achieves weak-form efficiency.

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URN: urn:nbn:se:uu:diva-226397OAI: oai:DiVA.org:uu-226397DiVA: diva2:725360
Available from: 2014-06-16 Created: 2014-06-16 Last updated: 2014-06-16Bibliographically approved

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