STUDY OF CRYPTOCURRENCY'S MARKET EFFICIENCY POST-COVID-19 ANNOUNCEMENT

Abstract

The announcement of the coronavirus disease (COVID-19) as a pandemic by the World Health Organization (WHO) on March 11, 2020, caused revenue decline in many companies due to the implementation of lockdown policies in various countries, which limited people's activities and mobility. The COVID-19 pandemic also caused panic that made many investors put their shares on the market, resulting in company stock prices dropping in various sectors. Therefore, many investors are interested in cryptocurrency, which has experienced a price surge since the announcement of COVID-19. This study tests the weak-form of the Efficient Market Hypothesis in 32 cryptocurrency markets categorized as the large and medium market capitalization within two years after the announcement of the COVID-19 pandemic. This study is quantitative research performed to test return predictability using run-test analysis techniques. The results of this study show that 20 out of 32 cryptocurrencies used in this study are efficient, including Terra, Cardano, and Dogecoin, which are categorized as large market caps. We also found inefficiencies in the cryptocurrencies within the large market caps, such as Bitcoin, Ethereum, Binance Coin, and XRP.

Keywords

• efficient market hypothesis
• weak-form
• cryptocurrency
• run test