ASSESSING THE PREDICTABILITY OF CRYPTOCURRENCY PRICES

  • Ruzita Abdul Rahim Centre for Global Business and Digital Economy StudiesFaculty of Economics and Management, Universiti Kebangsaan Malaysia
  • Pick Soon Ling School of Business and Management, University College of Technology Sarawak
  • Muhammad Airil Syafiq Mohd Khalid School of Economics, Finance and Banking, Universiti Utara Malaysia

Abstract

The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Application, Payment, Privacy, Platform, and Utility. Two market efficiency tests (Ljung-Box autocorrelation and Runs tests) were run on the daily returns of the 52 unique cryptocurrencies and the MSCI World index from 28 April 2013 to 30 June 2019. The results showed that Bitcoin was consistently efficient, whereas most of the other cryptocurrencies and even the MSCI World index were not, implying that their prices were predictable. Categorically, Payment altcoins were the most consistent in showing inefficiency. Since altcoins in this category also recorded the third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance of exploiting the market information to make extremely high abnormal returns.

Author Biography

Ruzita Abdul Rahim, Centre for Global Business and Digital Economy StudiesFaculty of Economics and Management, Universiti Kebangsaan Malaysia

Chairperson

Centre for Global Business and Digital Economy Studies

Faculty of Economy and Management

Universiti Kebangsaan Malaysia

Published
2021-07-09
How to Cite
ABDUL RAHIM, Ruzita; LING, Pick Soon; MOHD KHALID, Muhammad Airil Syafiq. ASSESSING THE PREDICTABILITY OF CRYPTOCURRENCY PRICES. Malaysian Management Journal, [S.l.], v. 25, p. 143-168, july 2021. ISSN 2289-6651. Available at: <http://e-journal.uum.edu.my/index.php/mmj/article/view/mmj2021.25.6>. Date accessed: 20 sep. 2021. doi: https://doi.org/10.32890/mmj2021.25.6.