Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

“…In addition, we calculate the generalized Hurst exponent, which characterizes the multifractal nature of the time series. The multifractality or generalized Hurst exponent of Bitcoin has also been addressed in the literature (Takaishi, 2018;Jiang et al, 2018;Al-Yahyaee et al, 2018;El Alaoui et al, 2018). Since Gaussian random time series show no multifractality, it has been suggested that the multifractal degree may be related to the degree to which a time series deviates from efficiency.…”

Seeking a Chaotic Order in the Cryptocurrency Market

“…Pilkington [40] also studied bitcoin through the perspective of complexity theory. Al-Yahyae et al [41] compared the multifractality properties of bitcoin compared to gold, stock, and global currency markets and their findings show that the bitcoin market is the most inefficient compared to others. In a similar study, Bouri et al [42] also tested for nonlinear short-term and long-term relationships between bitcoin, aggregate commodity, and gold prices.…”

Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from the WAEMU Market Index

“…Other essential results are the utilities and consumer goods sector ETF markets are more efficient compared with the financial and telecommunications sector ETF markets, in terms of price prediction, , there are noteworthy discrepancies in terms of market efficiency, between the short-and long-term horizons and the ETF market efficiency is considerably diminished after the global financial crisis. Khamis et al (2018) applies the MF-DFA approach to study the efficiency of the Bitcoin market compared to gold, stock and foreign exchange markets. They found that the long-memory feature and multifractality of the Bitcoin market was stronger and therefore, more inefficient than the gold, stock and currency markets.…”

“…However, it must be noted that the frequency of specific events such as the shocks or crisis (stock market crash (1929), the crash of October 1987 and the second half of 1997, the bubble 2000, the subprime crisis 2008 ). These facts revive debates on informational efficiency (Urrutia, 1995;Mignon & Abraham-Frois, 1998;Colmant et al, 2003;Gillet & Szafard, 2004;Lardic & Mignon, 2006;Khamis et al, 2018). One can wonder even if the repetitive crashes are not related to a problem of transparency or information used in the financial markets?…”