Efficient Market Hypothesis on the blockchain: A social-media-based index for cryptocurrency efficiency

Author First name, Last name, Institution

Efstathios Polyzos, Zayed UniversityFollow
Ghulame Rubbaniy, University of the West of England
Mieszko Mazur, ESSCA School of Management

Document Type

Article

Source of Publication

Financial Review

Publication Date

1-1-2024

Abstract

This paper proposes the use of social media as a proxy for financial information. Using an extended sample of 53,580,759 tweets and employing text analysis tools (Latent Dirichlet Allocation and Term Frequency–Inverse Document Frequency), we determine the information being exchanged on any given day. We train machine-learning classifiers and forecast crypto price movements for more than 8000 cryptocurrencies and gauge market efficiency through successful forecasts based on public information. We propose various metrics of market efficiency for cryptocurrency assets and demonstrate that market efficiency is higher during the first 6 months after the Initial Coin Offering. We also examine the efficiency behavior of individual currencies during crisis periods.

DOI Link

10.1111/fire.12387

ISSN

0732-8516

Publisher

Wiley

Disciplines

Business

Keywords

cryptocurrencies, Latent Dirichtlet Allocation, market efficiency, social media

Scopus ID

85189150615

Recommended Citation

Polyzos, Efstathios; Rubbaniy, Ghulame; and Mazur, Mieszko, "Efficient Market Hypothesis on the blockchain: A social-media-based index for cryptocurrency efficiency" (2024). All Works. 6521.
https://zuscholars.zu.ac.ae/works/6521

Indexed in Scopus

yes

Open Access

no