HME test results for log (BTC-USD) and log (ETH-USD) for different exchanges
| EMH test | ADF | KPSS | DF-GLS | Lag order | 1% Critical Value | Hypothesis | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exchange/asset | ADF | Lag order | p-value | Hypothesis | KPSS | Lag order | p-value | Hypothesis | ||||
| Coinbase BTC-USD | −8.0303 | 7 | <0.001 | Stationary | 0.23687 | 6 | <0.001 | Stationary | −7.1762 | 7 | −2.57 | Stationary |
| Kraken BTC-USD | −8.0367 | 7 | <0.001 | Stationary | 0.23667 | 6 | <0.001 | Stationary | −4.8502 | 7 | −2.57 | Stationary |
| Binance BTC-USD | −8.0454 | 7 | <0.001 | Stationary | 0.23632 | 6 | <0.001 | Stationary | −4.9164 | 7 | −2.57 | Stationary |
| CoinMarketCap BTC-USD | −7.9206 | 7 | <0.001 | Stationary | 0.24067 | 6 | <0.001 | Stationary | −5.0000 | 7 | −2.57 | Stationary |
| Coinbase ETH-USD | −7.9093 | 7 | <0.001 | Stationary | 0.17497 | 6 | <0.001 | Stationary | −5.1866 | 7 | −2.57 | Stationary |
| Kraken ETH-USD | −7.9304 | 7 | <0.001 | Stationary | 0.17441 | 6 | <0.001 | Stationary | −7.0833 | 7 | −2.57 | Stationary |
| Binance ETH-USD | −7.7032 | 7 | <0.001 | Stationary | 0.17073 | 6 | <0.001 | Stationary | −6.9282 | 7 | −2.57 | Stationary |
| CoinMarketCap ETH-USD | −7.8394 | 7 | <0.001 | Stationary | 0.17587 | 6 | <0.001 | Stationary | −7.3798 | 7 | −2.57 | Stationary |
| EMH test | KPSS | DF-GLS | Hypothesis | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exchange/asset | Hypothesis | KPSS | Hypothesis | |||||||||
| Coinbase BTC-USD | −8.0303 | 7 | <0.001 | Stationary | 0.23687 | 6 | <0.001 | Stationary | −7.1762 | 7 | −2.57 | Stationary |
| Kraken BTC-USD | −8.0367 | 7 | <0.001 | Stationary | 0.23667 | 6 | <0.001 | Stationary | −4.8502 | 7 | −2.57 | Stationary |
| Binance BTC-USD | −8.0454 | 7 | <0.001 | Stationary | 0.23632 | 6 | <0.001 | Stationary | −4.9164 | 7 | −2.57 | Stationary |
| CoinMarketCap BTC-USD | −7.9206 | 7 | <0.001 | Stationary | 0.24067 | 6 | <0.001 | Stationary | −5.0000 | 7 | −2.57 | Stationary |
| Coinbase ETH-USD | −7.9093 | 7 | <0.001 | Stationary | 0.17497 | 6 | <0.001 | Stationary | −5.1866 | 7 | −2.57 | Stationary |
| Kraken ETH-USD | −7.9304 | 7 | <0.001 | Stationary | 0.17441 | 6 | <0.001 | Stationary | −7.0833 | 7 | −2.57 | Stationary |
| Binance ETH-USD | −7.7032 | 7 | <0.001 | Stationary | 0.17073 | 6 | <0.001 | Stationary | −6.9282 | 7 | −2.57 | Stationary |
| CoinMarketCap ETH-USD | −7.8394 | 7 | <0.001 | Stationary | 0.17587 | 6 | <0.001 | Stationary | −7.3798 | 7 | −2.57 | Stationary |
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