Testing Semi-Strong Market Efficiency for Leading Altcoins
DOI:
https://doi.org/10.47743/saeb-2025-0032Keywords:
altcoins, event study, semi-strong market efficiency, regulatory and international events.Abstract
This study probes semi-strong market efficiency in leading altcoins by examining how various regulatory and international events impact the daily returns of altcoins. We aspire to contribute valuable insights into the behavior of altcoins market in response to external stimuli, highlighting the implications for investors and market analysts in the rapidly evolving landscape of digital currencies. Several events over the period of 2018 to 2024 are considered categorized in two distinct groups namely, crypto-regulatory events and international events, ranging from outbreak of global pandemics, geo-political events and wars, including COVID-19 waves, vaccines authorizations, imposition of lockdowns, BREXIT post 2018, US withdrawal from Afghanistan, Russia-Ukraine war and Israel-Palestine conflict. Subsequently the impact of these events on the daily returns of five leading altcoins is assessed using the Auto-Regressive Component GARCH-Mean model. Altcoins have been responding to both positive and negative regulatory as well as international events. However, the significance of cumulative abnormal returns in the event window indicates signs of semi-strong market inefficiency. The findings provide new insights into the response of cryptocurrencies to various events at a global level, contributing to the understanding of market behavior and market efficiency, particularly, in the leading crypto-assets other than bitcoin. The findings can help altcoin investors devise trading strategies and build investment portfolios in an optimal manner, thereby minimizing the risks involved.
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Copyright (c) 2025 Rajnesh Shahani, Abdur Rahman Aleemi, Naeem Ahmed Qureshi, Abdul Majid Memon
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