Retrieving a set of 14 cryptocurrencies for a sample spanning 2015–2018. In this paper, we investigate Efficiency Market Hypothesis (EMH) by applying ARFIMA model for 14 cryptocurrencies which average price didn’t meet over $1 during a period 3 years, from Sep 2015 to Sep 2018. The Long term memory which is detected in time series of price, is in contradiction with Efficiency Market Hypothesis.

Keywords : Efficiency Market Hypothesis, Market Efficiency, Cryptocurrency, ARFIMA.