Journal
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
Volume 46, Issue -, Pages 141-148Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ribaf.2018.01.002
Keywords
Crypto currency; BitCoin; Persistence; Long memory; R/S analysis; Fractional integration
Categories
Funding
- Ministerio de Ciencia y Tecnologia [ECO2014-55236]
- Ministry of Education and Science of Ukraine [0117U003936]
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This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.
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