The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average

【Author】 Zhang, Wei; Wang, Pengfei; Li, Xiao; Shen, Dehua

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】As a form of cryptocurrency, the issue of informational efficiency of Bitcoin has received much attention recently. We add to the literature by investigating nine forms of cryptocurrencies, i.e., Bitcoin, Ripple, Ethereum, NEM, Stellar, Litecoin, Dash, Monero and Verge, with a battery of efficiency tests and the empirical results indicate that all these cryptocurrencies are inefficient markets. What is more, we further construct a value-weighted Cryptocurrency Composite Index (CCI) and show that CCI and Dow Jones Industrial Average are persistently cross-correlated. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Market efficiency; Cryptocurrency; Random walk; Hurst exponent; Rolling windows; Cross-correlation

【发表时间】2018 15-Nov

【收录时间】2022-01-02

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