The Impact of Volatility, Liquidity, and Crude Oil Price Index on Cryptocurrency Returns (Testing the Weak-Form Market Efficiency) Period January 2019 - June 2021

Since it was first founded by Satoshi Nakamoto in 2008, cryptocurrencies have attracted the attention of investors significantly. Until now, many investors have invested their money in cryptocurrencies. This study aims to prove and analyze the effect of volatility, liquidity and world oil price indices on cryptocurrency returns. It also examines whether the occurrence of market efficiency is weak or not. This study aims to prove and analyze weak efficiency market and the impact of liquidity, volatility and the world oil price index on the return of the cryptocurrency market. This study uses quantitative methods and secondary data, so that the number of samples taken are 3 types of cryptocurrencies (Bitcoin, Ethereum and Binance Coin) which are listed on coinmarketcap.com and investing.com, as well as the oil price index taken from investing.com The analytical methods used in this study are series correlation test and runs test as well as multiple linear regression analysis. The results of this study indicate that volatility and liquidity affect the efficiency of the cryptocurrency market while the oil price index has no effect. The results of autocorrelation test on return itself prove that these coins have weak form efficiency.

Keywords: Market Efficiency, Cryptocurrency, Liquidity, Oil Price Index, Volatility