Cryptocurrency Market Efficiency: Evidence from Wavelet Analysis

【Author】 Fidrmuc, Jarko; Kapounek, Svatopluk; Junge, Frederik

【Source】FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE

【影响因子】0.292

【Abstract】We examine daily USD returns for Bitcoin, Ethereum and Litecoin between October 2013 and September 2019 at six separate exchanges employing wavelet methodology. This approach, as compared to the standard time domain analysis, is superior because it tests the existence of cyclical persistencies at different investment horizons. We identify significant but temporal cyclical movements and coherence between the markets at high frequencies which is broadly consistent with market inefficiency given liquidity constraints of cryptocurrencies. Moreover, we identify temporal temporal arbitrage opportunities between the selected exchanges.

【Keywords】efficient market hypothesis; market arbitrage; wavelet analysis

【发表时间】2020

【收录时间】2022-01-02

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