Price Efficiency of Cryptocurrencies
Abstract
We test price efficiency, which shows the fairness of trading for retail investors using the runs tests and variance ratio tests. We reject the hypothesis that Bitcoin prices are price efficient on most markets, but efficient on the Bitstamp BTC/USD. Coinbase departs from efficiency, indicating that fraud, later found by regulators, has significantly harmed retail investors. We also document barriers to trading of Bitcoin, which result in difficulties in arbitrage despite global price differences. My results predict the hack of the Bitfinex exchange, which caused it to close and harmed many people.
Fields of Study & Subjects
Blockchain Technology Applications and Security
Financial Markets and Investment Strategies
Benford’s Law and Fraud Detection
Publication details
- Journal / source
- Journal of risk and financial management
- Publisher
- MDPI AG
- Volume
- 19
- Issue
- 2
- Pages
- 143–143
- Publication date
- 13 February 2026
- Language
- EN