Long Memory Interdependency and Inefficiency in Bitcoin Markets

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

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship. (C) 2018 Published by Elsevier B.V.

【Keywords】Cross-market Bitcoin prices; Long-memory; Efficient market hypothesis; Fractionally cointegrated VAR

【发表时间】2018 JUN

【收录时间】2022-01-02

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