ขนาดของความไม่มีประสิทธิภาพและความเสี่ยงในตลาดสกุลเงินดิจิทัล

Abstract

This study is aimed at the Magnitude of Inefficiency and Risk in the Cryptocurrency Market. Using three models namely a) Markov Switching Autoregressive, b) Market Inefficiency Magnitude and c) Value at Risk. The purpose is to study the identification of the magnitude of inefficiency, economic cycle, and value at risk in the Cryptocurrency Market. This study used secondary data on the daily closing prices of 10 cryptocurrencies namely Bitcoin, Ethereum, Binance, Cardano, Dogecoin, XRP, Litecoin, Chain-link, Stellar, and Tron. From 1 January 2018 to 31 July 2021, a total of 1,308 days. The data are estimated by the Markov-switching autoregressive (MS-AR) The results have shown that most cryptocurrency markets are inefficient. This is because the price adjustments of cryptocurrencies are based on News trends such as the release of information from important or famous for example financial institutions, National and Government Leaders, and Elon Musk. This makes the cryptocurrency market unable to show its true value. Also found that the cyclical movements of the digital currency economy have similar movements. Most of them are based on large cryptocurrencies likely Bitcoin or Ethereum in both bullish and bearish conditions. If the cryptocurrency is in a certain state, will have a high chance of staying in that state and the risk factor of cryptocurrencies is inconsistent with its inefficiency, that is, low-risk cryptocurrencies can not confirm that cryptocurrencies are effective.