Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

【Author】 Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-Min

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.

【Keywords】Bitcoin; Efficient market hypothesis; Long memory; Hurst exponent; MF-DFA

【发表时间】2018 DEC

【收录时间】2022-01-02

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