67740

Daniel Pereira Alves de Abreu
Robert Aldo Iquiapaza Coaguila
Marcos Antônio de Camargos

Revista de Administração da UFSM

Objetivo: Este estudo visa analisar a evolução da eficiência do mercado criptoativos com base em aspectos fractais da série histórica de preços de 15 criptomoedas e um índice de referência desenvolvido para este mercado (CRIX). Metodologia: As análises propostas partem do índice de eficiência proposto por Kristoufek e Vosvrda (2013), que captura os vieses de memória de longo e curto prazo, bem como a autocorrelação de primeira ordem. O banco de dados cobre o período de 02/08/2014 a 31/12/2020. Usando a análise de quebra estrutural para séries temporais, foi possível dividir a amostra em cinco períodos de análise, e o índice de eficiência foi calculado para cada um deles. Resultados: Foi identificada a existência de oscilações entre os índices de eficiência ao longo dos períodos analisados, verificando uma maior ineficiência em momentos de ascensão do mercado. Além disso, pode-se observar que, em geral, este mercado vem ganhando eficiência ao longo dos anos, embora ainda não tenha alcançado a ausência de ineficiência. Esta conclusão corrobora os estudos sobre a adaptação da eficiência do mercado com base em seus investidores e agentes. Finalmente, pode-se caracterizar o cenário atual como uma bolha especulativa, o que, devido à presença do efeito de manada, permite a existência de arbitragem. Originalidade: Pesquisas nesta área ainda são recentes, pois se trata de um novo segmento financeiro, portanto existem várias dúvidas e lacunas na literatura. Neste sentido, a adoção de uma abordagem longitudinal para identificar a evolução da eficiência deste mercado não só é interessante como também é uma abordagem pouco explorada pela literatura.

Criptomoedas, Eficiência de Mercado, Hipóteses de Mercado Fractal, Mercados Adaptativos

ABREU, D. P. A.; COAGUILA, R. A. I.; CAMARGOS, M. A. Evolution of the degree of efficiency of the cryptocurrency market from 2014 to 2020: an analysis based on its fractal components. Revista de Administração da UFSM, v. 15, n. 2, p. 216-235, 2022.

Abreu, D. P. A., Coaguila, R. A. I., & Camargos, M. A. (2022). Evolution of the degree of efficiency of the cryptocurrency market from 2014 to 2020: an analysis based on its fractal components. Revista de Administração da UFSM, 15(2), 216-235.

10.5902/1983465965639

https://www.spell.org.br/documentos/ver/67740/evolucao-do-grau-de-eficiencia-do-mercado-de-moedas-criptograficas-de-2014-a-2020--uma-analise-baseada-em-seus-componentes-fractais/i/pt-br

Artigo

Inglês

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