Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach

【Author】 Duan, Kun; Li, Zeming; Urquhart, Andrew; Ye, Jinqiang

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】Employing a long-memory approach, we provide a study of the evolution of informational efficiency in five major Bitcoin markets and its influence on cross-market arbitrage. While all the markets are close to full informational efficiency over the whole sample period, the degree of market efficiency varies across markets and over time. The cross-market discrepancy in market efficiency gradually vanishes, suggesting the segmented markets are developing to a consensus where all markets are equally efficient. Through a fractionally cointegrated vector autoregressive (FCVAR) model we show that when the efficiency in Bitcoin/USD and Bitcoin/AUD markets improves the cross-market arbitrage potential narrows, whereas it widens when the efficiency in Bitcoin/CAD, Bitcoin/EUR, and Bitcoin/GBP markets improves. A battery of robustness checks reassure our main findings.

【Keywords】Bitcoin; Market efficiency; Cryptocurrency; Long memory; FCVAR

【发表时间】2021 MAY

【收录时间】2022-01-02

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