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

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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: Blanka Łęt, Konrad Sobański, Wojciech Świder and Katarzyna Włosik

Open Access

|Dec 2022

Figures & Tables

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.

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.

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.

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

	BTC				ETH

	B&H	NUPL 1	NUPL 2	NUPL 3	B&H	NUPL 1	NUPL 2	NUPL 3
Min	1.24	1.38	1.83	3.90	−1.18	1.49	1.36	1.14
Max	2.47	1.59	2.18	4.87	3.11	3.21	5.10	14.84
Median	1.14	1.50	2.05	4.62	1.92	2.63	2.70	2.77
Mean	0.64	1.50	2.02	4.50	1.18	2.43	2.52	3.00
St. dev.	1.01	0.07	0.13	0.32	1.26	0.56	0.67	2.01
Sharpe ratio	0.63	20.91	15.18	13.95	0.94	4.34	3.75	1.49
N		7	8	9		103	121	158
Success rate		100%	100%	100%		100%	100%	98.10%

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

	BTC				ETH

	B&H	PAP 1	PAP 2	PAP 3	B&H	PAP 1	PAP 2	PAP 3
Min	1.24	1.74	1.59	1.44	−1.18	1.62	1.31	1.09
Max	2.47	2.27	2.19	2.18	3.11	2.93	2.58	2.43
Median	1.14	2.00	1.85	1.69	1.92	2.35	2.02	1.92
Mean	0.64	2.00	1.85	1.77	1.18	2.24	1.93	1.81
St. dev.	1.01	0.19	0.21	0.23	1.26	0.35	0.33	0.35
Sharpe ratio	0.63	10.56	9.01	7.74	0.94	6.42	5.87	5.18
N		13	17	22		136	151	174
Success rate		100%	100%	100%		100%	100%	94.83%

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

	BTC				ETH

	B&H	NUPL 1	NUPL 2	NUPL 3	B&H	NUPL 1	NUPL 2	NUPL 3
Min	−1.79	1.13	0.96	0.91	−2.47	1.77	1.58	1.40
Max	3.22	4.02	4.88	5.48	4.93	20.72	27.44	27.44
Median	0.85	2.00	1.96	1.85	1.21	5.57	5.27	5.34
Mean	0.84	2.18	2.19	2.18	1.18	7.02	6.65	6.67
St. dev.	1.01	0.79	1.04	1.16	1.89	4.54	4.66	4.93
Sharpe ratio	0.83	2.76	2.10	1.88	0.62	1.54	1.43	1.35
N		210	214	217		205	213	227
Success rate		100%	100%	100%		100%	100%	100%
p-value (one-sided test for two means)		0.03**	0.06*	0.14		0.01**	<0.01***	<0.01***
p-value (one-sided test for two Sharpe ratios)		0.07*	0.15	0.24		0.07*	0.01**	0.03**

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

	BTC				ETH

	B&H	PAP 1	PAP 2	PAP 3	B&H	PAP 1	PAP 2	PAP 3
Min	−1.79	0.52	1.00	0.69	−2.47	0.41	0.40	0.38
Max	3.22	1.50	3.69	3.91	4.93	14.18	26.56	26.56
Median	0.85	0.81	2.06	1.91	1.21	3.46	3.58	3.45
Mean	0.84	0.99	2.03	1.90	1.18	3.98	4.28	4.41
St. dev.	1.01	0.33	0.74	0.80	1.89	2.91	3.37	3.32
Sharpe ratio	0.83	2.97	2.74	2.38	0.62	1.37	1.27	1.33
N		125	150	181		326	337	363
Success rate		38.40%	100%	97.25%		82.82%	84.57%	90.64%
p-value (one-sided test for two means)		0.39	0.12	0.15		<0.01***	<0.01***	<0.01***
p-value (one-sided test for two Sharpe ratios)		0.04**	0.08*	0.14		0.05*	0.14	0.02**

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

	BTC				ETH

	B&H	SOPR 1	SOPR 2	SOPR 3	B&H	SOPR 1	SOPR 2	SOPR 3
Min	−1.79	−22.33	−43.39	−43.39	−2.47	−11.18	−11.18	−33.09
Max	3.22	55.20	55.20	55.20	4.93	18.03	18.03	63.59
Median	0.85	1.13	0.80	0.90	1.21	2.18	2.15	1.29
Mean	0.84	2.96	2.13	2.06	1.18	1.93	1.77	1.55
St. dev.	1.01	7.73	8.74	8.51	1.89	4.18	4.36	7.28
Sharpe ratio	0.83	0.38	0.24	0.24	0.62	0.46	0.41	0.21
N		172	207	288		233	271	412
Success rate		54.65%	49.28%	50.69%		66.67%	64.58%	51.70%
p-value (one-sided test for two means)		0.03**	0.10	0.06*		0.25	0.27	0.39
p-value (one-sided test for two Sharpe ratios)		0.35	0.14	0.03**		0.27	0.28	0.35

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

	BTC				ETH

	B&H	SOPR 1	SOPR 2	SOPR 3	B&H	SOPR 1	SOPR 2	SOPR 3
Min	1.24	−4.77	−6.00	−6.00	−1.18	−4.14	−4.14	−21.67
Max	2.47	39.65	39.65	39.65	3.11	13.00	37.21	37.21
Median	1.14	4.40	2.99	−0.22	1.92	1.95	2.09	1.47
Mean	0.64	5.18	5.25	2.58	1.18	1.76	2.54	2.30
St. dev.	1.01	9.17	9.91	7.31	1.26	4.02	6.44	7.58
Sharpe ratio	0.63	0.57	0.53	0.35	0.94	0.44	0.39	0.30
N		28	39	114		48	49	98
Success rate		57.14%	62.16%	33.33%		52.08%	55.10%	50%

DOI: https://doi.org/10.2478/ijme-2022-0030 | Journal eISSN: 2543-5361 | 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: 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

Related subjects:

Business and economics,

Political economics,

Economic theory, systems and structures,

Business management,

Management accounting, financial controlling, cost calculation, investment

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

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