摘要：Despite the rise in markets for cryptocurrencies at an outstanding pace, with consistently high trading volume and market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns is regarding (in)efficiency, viz. whether there exist opportunities of making excess returns based on out-performing the market or merely a game of chance. In this study, the authors investigate the weak-form efficiency of the top-ten cryptocurrencies using non-parametric and parametric random walk testing methods that are robust to unknown structural breaks and asymmetric effects. The findings do not support the random walk hypothesis, hence validating the weak-form inefficiency for daily cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant implications for portfolio managers, market participants and regulators of leading cryptocurrency markets.
