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Finance and Financial Management Commons

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Portfolio and Security Analysis

CMC Senior Theses

2014

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An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown Jan 2014

An Analysis Of Bitcoin Market Efficiency Through Measures Of Short-Horizon Return Predictability And Market Liquidity, William L. Brown

CMC Senior Theses

Bitcoins have the potential to fundamentally change the way value is transferred globally. Their rapid adoption over the past four years has led many to consider the possible results of such a technology. To be a viable currency, however, it is imperative that the market for trading Bitcoins is efficient. By examining the changes in availability of predictable outsized returns and market liquidity over time, this paper examines historical Bitcoin market efficiency and establishes correlations between market liquidity, price predictability, and return data. The results provide insight into the turbulent nature of Bitcoin market efficiency over the past years, but …