Journal of Financial and Quantitative Analysis Vol. 60 No. 3 2025
Informational Efficiency of Cryptocurrency Markets
Abstract
This study employs variance ratios (VRs) to assess the roles of regulation and liquidity on cryptocurrency market efficiency, focusing on crypto-assets subject to varying degrees of regulation. Our findings reveal that cryptocurrencies supervised by FinCEN-licensed exchanges (IEO-L) exhibit market efficiency similar to SEC-regulated traditional stock offerings (IPOs). Conversely, noncompliant crypto-assets display higher market inefficiency. We also establish a connection between regulatory compliance and issuing entity reputation mechanisms. Our results indicate that compliance with existing regulatory norms enhances efficiency and reduces investor risks in crypto-assets. Furthermore, assets voluntarily adhering to regulatory norms can attain efficiency akin to government-regulated assets.
- DOI
- 10.1017/s0022109024000310
- Volume
- 60
- Issue
- 3
- Pages
- 1427-1456
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref