Market efficiency assessment for multiple exchanges of cryptocurrencies

Purpose This study aims to analyze the efficient market hypothesis (EMH) of cryptocurrencies on multiple platforms by observing whether there is a discrepancy in levels efficiency between different exchanges. Additionally, EMH tested multivariate way: prices same traded exchanges are temporally related each other. ADF and KPSS tests, whereas vector autoregression model order p – VAR(p) for system. Findings Both Bitcoin Ethereum show weak form main alone. However, when estimating among exchanges, was evidence Granger causality all suggesting that not adequate due cross information. Practical implications It essential assess cryptocurrency way, only favor its maturation process, but also promote broad understanding inherent risks. Thus, it will be possible develop financial products actively managed more sophisticated market. Social There possibility performing arbitrage assets through cross-exchanges. emphasizing need regulation digital asset market, as an eventual price manipulation single platform can impact others, which generates various distortions. Originality/value first find cross-information (and other)