DOES THE SOUTH KOREA BITCOIN MARKET IS EFFICIENT?

The performance of cryptocurrency under an efficient market hypothesis (EMH) is important as it helps to understand the behavior of price movement. This ensures that no speculators or investors take advantage but also guarantee fair competition and promising growth in the market. The present study used South Korea Bitcoin time series data to find out market efficiency from the period 2013 to 2020. Our results revealed that Bitcoin returns not satisfied efficient market hypothesis in the full sample period but showed a strong result in the second subsample that is from 2017 to 2020 which satisfies an efficient market hypothesis. This indicates that the South Korea Bitcoin market is moving towards weak form efficiency in recent years.