Journal
FINANCE RESEARCH LETTERS
Volume 25, Issue -, Pages 280-284Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2017.12.009
Keywords
Long-term memory; Bitcoin market; Generalized Hurst exponents; Rolling window
Categories
Funding
- National Natural Science Foundation of China [71402005]
- Guangdong social sciences co-construction project [GD16XYJ12]
- 13th Five-Year Plan of 2017 Philosophy and Social Sciences Project in Shenzhen [135B011]
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This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index (Sensoy and Hacihasanoglu, 2014). The daily dataset for the period from 2010 to 2017 is utilized, and some interesting findings emerge that: (i) all of the generalized Hurst exponents in the Bitcoin market are above 0.5; (ii) long-term memory exists in the Bitcoin market; (iii) high degree of inefficiency ratio; (iv) the Bitcoin market does not become more efficient over time; and (v) rolling window approach can help to obtain more reliable results. Some implications for investors and policy-makers are concluded.
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