Weak efficiency of the cryptocurrency market: a market portfolio approach

Cryptocurrencies have attracted the attention of many investors and policymakers given the increase in popularity of Bitcoin. In this context, we analyse the cryptocurrency market by means of cap-weighted and equally weighted market portfolios that include all the altcoins available for three different periods (2015-2017, 2016-2017 and 2017). By using the most traditional tests of efficiency, we observe three main features of the cryptocurrency market: it is weak-form inefficient due to the behaviour of all the altcoins, it is more inefficient over time, especially in 2017, and the creation of new cryptocurrencies has not significantly changed the efficiency of the market.