Browsing by Subject "Efficient market hypothesis (EMH)"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    The inefficiency of Bitcoin revisited: a high-frequency analysis with alternative currencies
    (Elsevier, 2019) Şensoy, Ahmet
    We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.
  • Thumbnail Image
    ItemOpen Access
    Predictability dynamics of emerging sovereign CDS markets
    (Elsevier B.V., 2017) Şensoy, Ahmet; Fabozzi, Frank J.; Eraslan, Veysel
    We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. Using several robustness test, we find that Thailand, China, South Korea and Malaysia have the most efficient CDS markets while South Africa, Colombia and Turkey are the least efficient. Our results show that CDS markets can be efficient even in the crisis episodes. Our findings also suggest a strong negative relation between sovereign risk and CDS market efficiency. © 2017 Elsevier B.V.