The inefficiency of Bitcoin

【Author】 Urquhart, Andrew

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence reveals that returns are significantly inefficient over our full sample, but when we split our sample into two subsample periods, we find that some tests indicate that Bitcoin is efficient in the latter period. Therefore we conclude that Bitcoin in an inefficient market but may be in the process of moving towards an efficient market. (C) 2016 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Market efficiency; Cryptocurrency; Random walk

【发表时间】2016 NOV

【收录时间】2022-01-02

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