Year: 2026
Type: article
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.
DOI: 10.3390/jrfm19020143
Author: Jonathan Lee Miller
Institution: Tecnológico de Monterrey
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $1,689
OpenAlex ID: W7128813540