Bariviera () shows that daily returns of Bitcoin become more efficient across time, but volatility exhibits long-range memory during all the period. Dec 01, · Jiang et al. () examine the time-varying long-term memory in the Bitcoin market using a rolling window approach and the efficiency index of Sensoy and Hacihasanoglu (). The results indicate the presence of long-term memory in the Bitcoin market. Downloadable (with restrictions)! 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, ). The daily dataset for the period from to is utilized, and some interesting findings emerge that: (i) all of the generalized Hurst exponents in the Cited by:
Time-varying long-term memory in bitcoin marketRM-QF/24crypto.de at master · PHBS/RM-QF · GitHub
Go to file T Go to line L Copy path. Raw Blame. Recently major finance journals also start accepting Bitcoin-related articles Main research question theme is Do established theories in finance hold in Bitcoin or not? How does Bitcoin compared to other asset classes? Market microstructure? Irrational investor behavior? Price inefficiency is often referred to as long-term memory.
Urquhart, A. The inefficiency of Bitcoin. Economics Letters , 80— Nadarajah, S. On the inefficiency of Bitcoin. Economics Letters , 6—9. Bariviera, A. The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters , 1—4. Tiwari, A. Informational efficiency of Bitcoin—An extension. Economics Letters , — Jiang, Y. Time-varying long-term memory in Bitcoin market. Finance Research Letters 25, — Wei, W. Liquidity and market efficiency in cryptocurrencies. Economics Letters , 21— Semi-strong efficiency of Bitcoin.
Finance Research Letters 27, — Sensoy, A. The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies.
Finance Research Letters 28, 68— Bitcoin as an investment option Research question: Can Bitcoin diversify portfolio? Chan, W. Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin.
The Quarterly Review of Economics and Finance 71, — Bouri et al, On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters 20, — Dyhrberg, A.
Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters 16, — Influence between Bitcoin and Cryptocurrencies Koutmos, D. Return and volatility spillovers among cryptocurrencies.
Tu, Z. Effect of bifurcation on the interaction between Bitcoin and Litecoin. Finance Research Letters. Katsiampa, P. Finance Research Letters 29, 68— Price discovery Background: Price discovery is the process of determining the price of an asset in the marketplace through the interactions of buyers and sellers.
Research question: If a financial asset is traded in more than one market e. Brandvold et al, O. Price discovery on Bitcoin exchanges. Gox and BTC-e. Brauneis, A. Price discovery of cryptocurrencies: Bitcoin and beyond.
Economics Letters , 58— Bitcoin futures market Background: In traditional asset classes, futures markets lead price discovery higher information share.
Baur, Dirk G. Pilar Grau-Carles, Urquhart, Andrew, Dwyer, Gerald P. Fama, Eugene F, Brock, W. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:vyi:c:p See general information about how to correct material in RePEc.
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