@article{MAKHILLJEAS201712914403,
    title = {Testing the Weak Form of Efficient Market in Cryptocurrency},
    journal = {Journal of Engineering and Applied Sciences},
    volume = {12},
    number = {9},
    pages = {2285-2288},
    year = {2017},
    issn = {1816-949x},
    doi = {jeasci.2017.2285.2288},
    url = {https://makhillpublications.co/view-article.php?issn=1816-949x&doi=jeasci.2017.2285.2288},
    author = {Muhammad,Saiful,Mohd and},
    keywords = {Cryptocurrency,EMH,weak form,GARCH (1, 1),model},
    abstract = {The performance of cryptocurrency under efficient market hypothesis is important as it provides
understanding to the behavior of its price movement. It is important to determine the cryptocurrency behavior
under efficient market theory to ensure that no speculators or investors are able to take advantage as well as
to guarantee fair competition and promising growth in the market. This study used Bitcoin and Litecoin time
series data. The study analyzed the presence of heteroscedasticity, serial correlation and tested for structural
break with bai-perron test. The sample data is model into GARCH (1, 1) unit root model with structural break.
The market efficiency is analyzed through the performance of the model in unit root test namely the augmented
Dickey-Fuller, DF-GLS, Phillips-Perron, KPSS, ERS and Ng-Perron. The analysis show that the market efficiency
hypothesis in Bitcoin and Litecoin market is inconsistent with weak form of efficiency as the unit root test show
Bitcoin model is stationary. This is consistent with the cryptocurrency behavior as it is subjected to speculative
bubble. Cryptocurrency has no intrinsic value and it depends on the speculation power. Thus, investors might
overvalue or undervalue the cryptocurrency which in turn further effect the market price.}
    }