Long memory interdependency and inefficiency in Bitcoin markets

Mamata Parhi, Tapas Mishra, Eng-Tuck Cheah, Zhuang Zhang

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    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.

    © 2018, Elsevier. The attached document (embargoed until 17/02/2020) is an author produced version of a paper published in ECONOMICS LETTERS uploaded in accordance with the publisher’s self- archiving policy. The final published version (version of record) is available online at the link below. Some minor differences between this version and the final published version may remain. We suggest you refer to the final published version should you wish to cite from it.
    Original languageEnglish
    Pages (from-to)18-25
    JournalECONOMICS LETTERS
    Volume167
    Early online date17 Feb 2018
    DOIs
    Publication statusPublished - 2018

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