Abstract
The recent increase in research on financial technology has resulted in transactions receiving considerable research attention. With the increasing importance of bitcoin, many related topics require further clarification. Because bitcoin is a popular financial asset, determining whether the price information is fully circulated among trading platforms has been the focus of many studies in recent years. The method for verifying the efficient market hypothesis relates to whether the price series is a random walk; that is, whether a unit root exists. According to the literature, whether the price of bitcoin satisfies the efficient market hypothesis remains controversial; however, these studies have not considered nonlinear data structures. To deal with the structural change of data, this study employed different unit root tests, namely the Zivot-Andrews unit root test and Kapetanios-Shin unit root test, to investigate bitcoins' relationship to the efficient market hypothesis. If the efficient market hypothesis is validated, the price formed by the bitcoin trading platform is close to a perfectly competitive mechanism, and the information can be quickly and completely reflected in the price, with information of different trading platforms having mutual influence. Therefore, this study applied the threshold vector autoregressive model to explore price information transmission between various trading platforms. The contribution of this research is its exploration of the financial tools derived from the highly developed fields of financial science and technology. This is helpful for providing new methods for completing financial transactions or a platform for speculators to engage in arbitrage.
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