The Inefficiency of Bitcoin Revisited: A Dynamic Approach

10 Pages Posted: 26 Sep 2017 Last revised: 16 Oct 2017

See all articles by Aurelio F. Bariviera

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Date Written: September 23, 2017

Abstract

This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are twofold. First, R/S method is prone to detect long memory, whereas DFA method can discriminate more precisely variations in informational efficiency across time. Second, daily returns exhibit persistent behavior in the first half of the period under study, whereas its behavior is more informational efficient since 2014. Finally, price volatility, measured as the logarithmic difference between intraday high and low prices exhibits long memory during all the period. This reflects a different underlying dynamic process generating the prices and volatility.

Keywords: Bitcoin, Long Range Dependence, Volatility, Hurst Exponent

JEL Classification: G01, G14

Suggested Citation

Bariviera, Aurelio F., The Inefficiency of Bitcoin Revisited: A Dynamic Approach (September 23, 2017). Economics Letters, Vol. 161, p. 1-4, 2017, Available at SSRN: https://ssrn.com/abstract=3041977

Aurelio F. Bariviera (Contact Author)

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

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