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