(In)efisiensi Pasar Mata Uang Kripto pada Periode Bullish atau Bearish

Abstract

Significant price fluctuations in cryptocurrency assets during the Covid-19 pandemic have caused major changes to the global financial market structure and have an impact on the balance of cryptocurrency market efficiency. These developments are evidence that cryptocurrencies are increasingly in demand by investors during times of crisis. This study aims to prove that the cryptocurrency market is (in)efficient in weak form under bullish or bearish conditions. This study was conducted using a quantitative approach which includes several tests, including; serial correlation/autocorrelation test, run test, variance ratio, and unit root test. The sampling technique uses purposive sampling with the main variables being the daily returns of Bitcoin and Ethereum during the Covid-19 pandemic. The results of the overall tests in this study show that the cryptocurrency market is significantly (in)efficient in weak form during the bullish period of the Covid-19 pandemic. This indicates a strong indication of abnormal returns during the bullish period of the Covid-19 pandemic.