Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; CEFAGE-UE, IIFA, University of Évora, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Catarina Revez  – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal



Keywords:                    Cryptocurrency markets;
Efficient market hypothesis;
Market efficiency


Abstract: When compared to traditional financial markets, cryptocurren­cies were seen as assets with minimal correlations. However, because this continually expanding financial market is marked by substantial volatili­ty and strong price movements over a short period, developing an accurate and reliable forecasting model is deemed crucial for portfolio management and optimization. Given the relevance of cryptocurrencies in the global econ­omy, it is important to determine if Bitcoin (BTC) becomes more predictable as investors adopt more aggressive trading positions. We examine BTC over the period from May 15th, 2021, to April 14th, 2022 (8676-time data), using in­traday (hourly) time scales. The results reveal that the random walk hypoth­esis is rejected at lags of 3 to 16 days, while we see that the BTC market tends toward efficiency (see the evolution between lags of 16 and 2). These findings reveal that, given the uncertainty in the global economy in 2022, namely the Russian invasion of Ukraine, the BTC market shows values of the variance ra­tios close to unity, implying that it is, apparently, not predictable and that the residuals are not autocorrelated in time. In addition, the results of the De­trended Fluctuation Analysis (DFA) exponent show that this market does not exhibit characteristics of (in) efficiency in its weak form. In other words, this market does not have persistent and mean-reverting properties, thus vali­dating the results of Wright’s Rankings and Signs variance test.

8th International Scientific ERAZ Conference – ERAZ 2022 – Conference Proceedings: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Online-Virtual (Prague, Czech Republic), May 26, 2022

ERAZ Conference Proceedings published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ERAZ conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; AMBIS University, Prague – Czech Republic; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia

ERAZ Conference 2022 Conference Proceedings: ISBN 978-86-80194-60-8, ISSN 2683-5568, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Sugested citation

Dias, R., Horta, N., Revez, C., Heliodoro, P., & Alexandre, P. (2022). The Evolution of the Cryptocurrency Market Is Trending toward Efficiency? In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Conference Proceedings (pp. 87-94). Association of Economists and Managers of the Balkans.


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