Long Memory Interdependency and Inefficiency in Bitcoin Markets

Cheah, Eng-Tuck; Mishra, Tapas; Parhi, Mamata; Zhang, Zhuang

doi:10.1016/j.econlet.2018.02.010

Cited by 151 publications

(89 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…More recently, Brauneis and Mestel [2018] extended the existing literature on the efficiency of cryptocurrency markets by performing various tests on efficiency of several cryptocurrencies, and additionally linked efficiency to measures of liquidity when the authors found that cryptocurrencies become more efficient as liquidity increases. On the other hand, the studies of Jiang et al [2017] and Cheah et al [2018] found contradictory results to those listed above. More specifically, in an attempt to examine the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing the efficiency index of Sensoy andHacihasanoglu [2014], Jiang et al [2017] found a high degree of inefficiency ratio and that the Bitcoin market does not become more efficient over time.…”

Section: Previous Literaturementioning

confidence: 72%

“…Studies of the market efficiency of cryptocurrencies include those of Urquhart [2016], Bariviera et al [2017], Nadarajah and Chu [2017], Brauneis and Mestel [2018], Cheah et al [2018], Khuntia and Pattanayak [2018], Sensoy [2018], Tiwari et al [2018], and Vidal-Tomás and Ibañez [2018], among others. More specifically, in an early study of the efficiency of Bitcoin, Urquhart [2016] used a battery of robust tests to find that Bitcoin returns are significantly inefficient over their selected full sample, but when dividing the same sample, Bitcoin presented evidence of becoming more efficient.…”

Section: Previous Literaturementioning

confidence: 99%

See 1 more Smart Citation

Asymmetric mean reversion of Bitcoin price returns

Corbet

Katsiampa

2020

International Review of Financial Analysis

View full text Add to dashboard Cite

Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhibit similar asymmetric reverting patterns for minutely, hourly, daily and weekly returns between June 2010 and February 2018. We identify several differences in the behaviour of Bitcoin price returns in the pre-and post-$1,000 sub-periods and evidence of asymmetric reverting patterns in the Bitcoin price returns under all the ANAR models employed, regardless of the data frequency considered. We also present evidence indicating stronger reverting behaviour of negative price returns in terms of both reverting speed and magnitude compared to positive returns and evidence of positive serial correlation with prior positive price returns. Finally, we also investigated asymmetries in Bitcoin price return series' persistence by employing higher order ANAR models, finding evidence of a higher persistence of positive returns than negative returns, a result that further supports the existence of asymmetric reverting behaviour in the Bitcoin price returns.

show abstract

Section: Previous Literaturementioning

confidence: 72%

Section: Previous Literaturementioning

confidence: 99%

Asymmetric mean reversion of Bitcoin price returns

Corbet

Katsiampa

2020

International Review of Financial Analysis

View full text Add to dashboard Cite

show abstract

“…Scientists belonging to the first of these groups are of the opinion that the cryptocurrency market meets the tenets of the efficient market hypothesis - Brauneis and Mestel (2018), Nadarajah and Chu (2017), Vlasov and Demin (2017), Tiwari (2018), Bariviera (2017), Sensoy (2018). However, researchers from the other group, most of whom have conducted their studies relatively recently, express the opposite view -for example, Cheah (2018) or Yonghong (2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Using FIAT currencies to arbitrage on cryptocurrency exchanges

Czapliński¹,

Nazmutdinova²

2019

Journal of International Studies

View full text Add to dashboard Cite

This paper fits in the trend of discussing the efficiency of cryptocurrency markets. Since 2008, when Bitcoin appeared on the market, arbitrageurs from all over the world have been trying to find the gaps in the markets, which will let them earn risk-free money using financial operations. Although a lot of researchers are trying to figure out arbitrage opportunities, looking at different exchanges and using different cryptocurrencies, so far hardly anyone has looked at arbitrage opportunities with the use of FIAT currencies within the same or different exchanges. This paper examines such opportunities for three different exchanges, i.e. Kraken, Bitfinex and Bitstamp -exchanges that enable trading in USD and EUR against Bitcoin at the same time. The main empirical results suggest that there are significant arbitrage opportunities on these markets. In the paper, we also show the main constraints in FIAT currencies arbitrage on cryptocurrency exchanges.

show abstract

“…O uso das criptomoedas proporciona às empresas o acesso potencial a novas tecnologias, mas também expõe a empresa a riscos adicionais, dentre eles, estão: volatilidade do preço, futura legislação, roubo ou perda e confiabilidade de terceiros (GRANT; HOGAN, 2015). Quanto a estudos envolvendo a volatilidade, percebe-se que os investidores são atraídos após grande taxa de volatilidade e volumes de negociação (URQUHART, 2018), bem como utilizam a memória estimada para capturar lucros especulativos (CHEAH et al, 2018). Já para as situações de roubo e/ou perda da criptomoeda, em que o investidor não consegue rastreá-la nem possui à sua disposição qualquer mecanismo para recuperá-la, percebe-se que, embora o anonimato seja defendido como uma forma de privacidade para os clientes, ocasiona riscos maiores (DOSTOV; SHUST, 2014).…”

Section: Criptomoedas E Investimentosunclassified