FACTA UNIVERSITATIS Series: Economics and Organization Vol. 20, N o 1, 2023, pp. 53 - 69 https://doi.org/10.22190/FUEO221121005R © 2023 by University of Niš, Serbia | Creative Commons Licence: CC BY-NC-ND Original Scientific Paper LONG-RANGE CORRELATIONS AND CRYPTOCURRENCY MARKET EFFICIENCY 1 UDC 336.7:004]:336.76 Jelena Radojičić, Ognjen Radović University of Niš, Faculty of Economics, Niš, Republic of Serbia ORCID iD: Jelena Radojičić https://orcid.org/0000-0003-3444-0138 Ognjen Radović https://orcid.org/0000-0001-7428-565X Abstract. This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of return volatility. We compare the characteristics of cryptocurrency returns with the returns on stocks of the most important companies producing hardware components for cryptocurrency mining. The correlation of returns, trading volume and volatility between cryptocurrencies and selected stocks is tested using a Granger causality test. The research results reject the efficient market hypothesis and show that the cryptocurrency market is a completely new speculative market that is weakly correlated with the stock market. Key words: efficient market hypothesis, cryptocurrency markets, random walk hypothesis, the long-run correlations. JEL Classification: G14, G15 INTRODUCTION Cryptocurrencies are not issued by monetary authorities, but are privately issued money based on cryptographic algorithms; they are not legal tender, they have not reached the status of a generally accepted means of payment, and they may face a limited supply due to the limitation of the total available amount or the annual amount which can be “mined”. The creation and transfer of cryptocurrencies is based on the blockchain technology where each block contains transactions, a time stamp, a digital signature to identify the account and a unique Received November 21, 2022 / Accepted March 06, 2023 Corresponding author: Jelena Radojičić Faculty of Economics, Trg kralja Aleksandra 11, 18000 Niš, Republic of Serbia | E-mail: jelena.radojicic@eknfak.ni.ac.rs