Time-varying long-term memory in Bitcoin market

【Author】 Jiang Yonghong; Nie He; Ruan Weihua

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index (Sensoy and Hacihasanoglu, 2014). The daily dataset for the period from 2010 to 2017 is utilized, and some interesting findings emerge that: (i) all of the generalized Hurst exponents in the Bitcoin market are above 0.5; (ii) long-term memory exists in the Bitcoin market; (iii) high degree of inefficiency ratio; (iv) the Bitcoin market does not become more efficient over time; and (v) rolling window approach can help to obtain more reliable results. Some implications for investors and policy-makers are concluded.

【Keywords】Long-term memory; Bitcoin market; Generalized Hurst exponents; Rolling window

【发表时间】2018 JUN

【收录时间】2022-01-02

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