Abstract
We test the efficient market hypothesis (EMH) in Bitcoin (BTC) and Ethereum (ETH) using the further Fourier nonlinear quantile (FNQKS) unit root test by Bahmani-Oskooee et al. (2020). While conventional tests support EMH in the cryptocurrency market, the FNQKS unit root test does not support EMH. Considering non-linearity, Fourier breaks, and non-normal distribution in BTC and ETH exhibit asymmetric persistence. This allows investors to make adjustments to their portfolios in response to both negative and positive shocks.
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