Measuring market efficiency on Turkish Lira transactions in cryptocurrency markets

Cryptocurrency markets are decentralized and do not rely on any authority. This situation raises the question whether these markets, which are completely independent of regulation and supervision, show the efficient market feature according to Fama's Efficient Market Hypothesis.. While there are many studies in the literature to analyze the market efficiency of dollar-indexed crypto money markets, this study analyzes the market efficiency for Bitcoin, Ripple and Litecoin, which are traded in Turkish Lira on BTC Turk, a domestic cryptocurrency exchange. In this study, the market efficiency of Bitcoin, Ripple and Litecoin cryptocurrencies indexed Turkish Lira was measured. For this purpose, data starting from 2017 for Bitcoin and 2018 for other cryptocurrencies were used. It has been determined that the crypto money markets, which are examined by subjecting the data to Autocorrelation, Extended-Dickey Fuller, Phillips Perron and Variance Ratio tests, do not show an efficient market feature. The results show that the cryptocurrency markets, which are predominantly composed of domestic investors and traded in Turkish Lira, are ineffective.