Most previous studies on the market efficiency of cryptocurrencies consider time evolution but do not provide insights into the potential driving factors. This study addresses this limitation by examining the time-varying efficiency of the two largest cryptocurrencies, Bitcoin and Ethereum, and the factors that drive efficiency. It uses daily data from August 7, 2016, to February 15, 2023, the adjusted market inefficiency magnitude (AMIMs) measure, and quantile regression. The results show evidence of time variation in the levels of market (in)efficiency for Bitcoin and Ethereum. Interestingly, the quantile regressions indicate that global financial stress negatively affects the AMIMs measures across all quantiles. Notably, cryptocurrency liquidity positively and significantly affects AMIMs irrespective of the level of (in) efficiency, whereas the positive effect of money flow is significant when the markets of both cryptocurrencies are efficient. Finally, the COVID-19 pandemic positively and significantly affected cryptocurrency market inefficiencies across most quantiles.

中文翻译：

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加密货币市场的效率及其驱动因素：以比特币和以太坊为例

之前大多数关于加密货币市场效率的研究都考虑了时间演化，但没有提供对潜在驱动因素的见解。本研究通过研究两种最大的加密货币比特币和以太坊的随时间变化的效率以及驱动效率的因素来解决这一局限性。它使用2016年8月7日至2023年2月15日的每日数据、调整后的市场效率低下程度（AMIM）指标和分位数回归。结果显示了比特币和以太坊市场效率水平随时间变化的证据。有趣的是，分位数回归表明全球金融压力对所有分位数的 AMIM 指标产生负面影响。值得注意的是，无论效率水平如何，加密货币流动性都会对 AMIM 产生积极且显着的影响，而当两种加密货币的市场都有效时，资金流动的积极影响是显着的。最后，COVID-19 大流行对大多数分位数的加密货币市场低效率产生了积极且显着的影响。