Multiple Exchanges of Cryptocurrencies

In this video, we explore the concept of market efficiency hypothesis in the context of cryptocurrency trading across multiple exchanges. Our study aims to determine whether there are any discrepancies in market efficiency levels between various exchanges and whether the prices of the same cryptocurrencies traded on different exchanges are temporally related to each other. To achieve this, we conducted ADF and KPSS tests, as well as the vector autoregression model of order p (VAR(p)) for a multivariate system.

Our findings indicate that while Bitcoin and Ethereum show efficiency in the weak form on the main platforms in each market alone, there is evidence of Granger causality between cryptocurrencies in all exchanges when estimating a VAR(p) between prices among exchanges. This suggests that the efficient market hypothesis is not adequate due to cross information.

Our study highlights the importance of assessing the cryptocurrency market in a multivariate way to promote a broader understanding of its inherent risks and favor its maturation process. It also emphasizes the need for regulation of exchanges in the digital asset market to prevent price manipulation on a single platform, which can impact others and generate various distortions.

By watching this video, you will gain a better understanding of market efficiency hypothesis in the cryptocurrency market and its practical and social implications. Stay tuned for more insightful videos on the latest developments in the world of cryptocurrencies.
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