Quantum mechanics

Engineering

Spot contract

Forward contract

Efficient-market hypothesis

Biology

Forward rate

Statistics

Forward market

Interest rate

Unit root

Stock market

Market efficiency

Futures contract

Spot market

Economics

Foreign exchange market

Random walk hypothesis

Interest rate parity

Paleontology

Physics

Exchange rate

Mathematics

Monetary economics

Econometrics

Horse

Financial economics

International economics

Exchange-rate regime

Electricity

Random walk

Foreign exchange

Electrical engineering

International Review of Financial Analysis

We propose a bitcoin-based exchange rate of USD/EUR and investigate market efficiency in the spot, futures, and forward FX markets. Structural-change, unit-root and Johansen tests indicate that the bitcoin exchange rate is a random walk and is co-integrated with the FX series. Inferences regarding the co-integrating coefficients suggest the long-run "unbiasedness" and short-run "fair game" nature of the bitcoin exchange rate. Our results are indicative of weak or semi-strong market efficiency.

Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates