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ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, vol.14, no.2, pp.491-510, 2019 (ESCI)
The purpose of this study is to shed light on the critical points of the future of the crypto currency market by evaluating the price movements and market efficiency. In this context, efficiency structure of the market has been tested for long-memory and heteroscedasticity characteristics. The relationship between market depth and volatility structure has been tested for 8 crypto currencies using asymmetrical GARCH models. Results of the analysis indicate presence of long-memory characteristics. Additionally, that as market volume increases so does the efficiency of the market. Therefore, it is concluded that the market efficiency increases with the market depth for all tested crypto currencies.