Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization

【Author】 Turattia, Douglas Eduardo; de Paula e Silva Mendes, Fernando Henrique; Caldeira, Joao Frois

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】In the present paper, we attempt to verify whether the Bitcoin log-returns are mean reverted in the presence of heteroskedastic disturbances driven by a mixture distribution. To tackle this problem, we use the autoregression test of mean reversion based on the Gibbs-sampling-augmented randomization methodology. In general, our results indicated that Bitcoin is mean averting for different returns horizons, model specifications and for sub-sample periods, which show the explosive characteristic of the Bitcoin in the period of analysis from 2010 to 2019.

【Keywords】Autoregression tests; Mean reversion in Bitcoin market; Markov-switching models; Gibbs-sampling-augmented randomization

【发表时间】2020 MAY

【收录时间】2022-01-02

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