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Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum Cover

Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum

International Journal of Management and Economics
Volume 58 (2022): Issue 4 (December 2022)
By: ,  ,   and    
Open Access
|Dec 2022
Figures & tables

Figures & Tables

Figure 1

NUPL in the period from August 8, 2015 to October 20, 2022.

Source: own compilation based on the Glassnode data.

Notes: The left panel depicts NUPL for BTC. The right panel depicts NUPL for ETH. BTC, Bitcoin; ETH, Ethereum; NUPL, net unrealized profit/loss.

Figure 2

SOPR in the period from August 8, 2015 to October 20, 2022.

Source: own compilation based on the Glassnode data.

Notes: The left panel depicts SOPR for BTC. The right panel depicts SOPR for ETH. BTC, Bitcoin; ETH, Ethereum; SOPR, spent output profit ratio.

Figure 3

PAP in the period from August 8, 2015 to October 20, 2022.

Source: own compilation based on the Glassnode data.

Notes: The left panel depicts PAP for BTC. The right panel depicts PAP for ETH. BTC, Bitcoin; ETH, Ethereum; PAP, percent of addresses in profit.

Table A1

NUPL strategies: performance and testing results for the period 2015–2019

BTCETH
B&HNUPL 1NUPL 2NUPL 3B&HNUPL 1NUPL 2NUPL 3
Min−1.791.130.960.91−2.471.771.581.40
Max3.224.024.885.484.9320.7227.4427.44
Median0.852.001.961.851.215.575.275.34
Mean0.842.182.192.181.187.026.656.67
St. dev.1.010.791.041.161.894.544.664.93
Sharpe ratio0.832.762.101.880.621.541.431.35
N210214217205213227
Success rate100%100%100%100%100%100%
p-value (one-sided test for two means)0.03**0.06*0.140.01**<0.01***<0.01***
p-value (one-sided test for two Sharpe ratios)0.07*0.150.240.07*0.01**0.03**

[i] Source: own calculations based on the Glassnode data.

[ii] Notes: The success rate of an active strategy is defined as the percentage of cases where the annualized return on the active strategy is greater than the mean return on the passive strategy. Estimates significant at the significance levels of 0.01, 0.05, and 0.10 are denoted by three (***), two (**), and one (*) asterisk, respectively.

[iii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; NUPL, net unrealized profit/loss.

Table A2

SOPR strategies: performance and testing results for the period 2015–2019

BTCETH
B&HSOPR 1SOPR 2SOPR 3B&HSOPR 1SOPR 2SOPR 3
Min−1.79−22.33−43.39−43.39−2.47−11.18−11.18−33.09
Max3.2255.2055.2055.204.9318.0318.0363.59
Median0.851.130.800.901.212.182.151.29
Mean0.842.962.132.061.181.931.771.55
St. dev.1.017.738.748.511.894.184.367.28
Sharpe ratio0.830.380.240.240.620.460.410.21
N172207288233271412
Success rate54.65%49.28%50.69%66.67%64.58%51.70%
p-value (one-sided test for two means)0.03**0.100.06*0.250.270.39
p-value (one-sided test for two Sharpe ratios)0.350.140.03**0.270.280.35

[i] Source: own calculations based on the Glassnode data.

[ii] Notes: The success rate of an active strategy is defined as the percentage of cases where the annualized return on the active strategy is greater than the mean return on the passive strategy. Estimates significant at the significance levels of 0.05 and 0.10 are denoted by two (**) and one (*) asterisk, respectively.

[iii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; SOPR, spent output profit ratio.

Table A3

PAP strategies: performance and testing results for the period 2015–2019

BTCETH
B&HPAP 1PAP 2PAP 3B&HPAP 1PAP 2PAP 3
Min−1.790.521.000.69−2.470.410.400.38
Max3.221.503.693.914.9314.1826.5626.56
Median0.850.812.061.911.213.463.583.45
Mean0.840.992.031.901.183.984.284.41
St. dev.1.010.330.740.801.892.913.373.32
Sharpe ratio0.832.972.742.380.621.371.271.33
N125150181326337363
Success rate38.40%100%97.25%82.82%84.57%90.64%
p-value (one-sided test for two means)0.390.120.15<0.01***<0.01***<0.01***
p-value (one-sided test for two Sharpe ratios)0.04**0.08*0.140.05*0.140.02**

[i] Source: own calculations based on the Glassnode data.

[ii] Notes: The success rate of an active strategy is defined as the percentage of cases where the annualized return on the active strategy is greater than the mean return on the passive strategy. Estimates significant at the significance levels of 0.01, 0.05, and 0.10 are denoted by three (***), two (**), and one (*) asterisk, respectively.

[iii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; PAP, percent of addresses in profit.

Table A4

NUPL strategies: performance in the COVID-19 period (2020–2022)

BTCETH
B&HNUPL 1NUPL 2NUPL 3B&HNUPL 1NUPL 2NUPL 3
Min1.241.381.833.90−1.181.491.361.14
Max2.471.592.184.873.113.215.1014.84
Median1.141.502.054.621.922.632.702.77
Mean0.641.502.024.501.182.432.523.00
St. dev.1.010.070.130.321.260.560.672.01
Sharpe ratio0.6320.9115.1813.950.944.343.751.49
N789103121158
Success rate100%100%100%100%100%98.10%

[i] Source: own calculations based on the Glassnode data.

[ii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; NUPL, net unrealized profit/loss.

Table A5

SOPR strategies: performance in the COVID-19 period (2020–2022)

BTCETH
B&HSOPR 1SOPR 2SOPR 3B&HSOPR 1SOPR 2SOPR 3
Min1.24−4.77−6.00−6.00−1.18−4.14−4.14−21.67
Max2.4739.6539.6539.653.1113.0037.2137.21
Median1.144.402.99−0.221.921.952.091.47
Mean0.645.185.252.581.181.762.542.30
St. dev.1.019.179.917.311.264.026.447.58
Sharpe ratio0.630.570.530.350.940.440.390.30
N2839114484998
Success rate57.14%62.16%33.33%52.08%55.10%50%

[i] Source: own calculations based on the Glassnode data.

[ii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; SOPR, spent output profit ratio.

Table A6

PAP strategies: performance in the COVID-19 period (2020–2022)

BTCETH
B&HPAP 1PAP 2PAP 3B&HPAP 1PAP 2PAP 3
Min1.241.741.591.44−1.181.621.311.09
Max2.472.272.192.183.112.932.582.43
Median1.142.001.851.691.922.352.021.92
Mean0.642.001.851.771.182.241.931.81
St. dev.1.010.190.210.231.260.350.330.35
Sharpe ratio0.6310.569.017.740.946.425.875.18
N131722136151174
Success rate100%100%100%100%100%94.83%

[i] Source: own calculations based on the Glassnode data.

[ii] B&H, buy-and-hold; BTC, Bitcoin; ETH, Ethereum; PAP, percent of addresses in profit.

DOI: https://doi.org/10.2478/ijme-2022-0030 | Journal eISSN: 2543-5361 (formerly 2299-9701) | Journal ISSN: 2299-9701
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Language: English
Page range: 351 - 370
Submitted on: Aug 26, 2022
Accepted on: Dec 14, 2022
Published on: Dec 31, 2022
Published by: SGH Warsaw School of Economics
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
active strategies,
cryptocurrency,
fundamental factors,
informational efficiency,
Ledoit and Wolf test
JEL:
F31,
G11,
G15
Related subjects:
Business and economics,
Business management,
Management accounting, financial controlling, cost calculation, investment

© 2022 Blanka Łęt, Konrad Sobański, Wojciech Świder, Katarzyna Włosik, published by SGH Warsaw School of Economics
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 58 (2022): Issue 4 (December 2022)
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