Long memory interdependency and inefficiency in Bitcoin markets

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

doi:10.1016/j.econlet.2018.02.010

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 language	English
Pages (from-to)	18-25
Journal	ECONOMICS LETTERS
Volume	167
Early online date	17 Feb 2018
DOIs	https://doi.org/10.1016/j.econlet.2018.02.010
Publication status	Published - 2018

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10.1016/j.econlet.2018.02.010

Long memory interdependency and inefficiency in Bitcoin marketsAccepted author manuscript, 432 KB

https://eprints.soton.ac.uk/418142/Licence: CC BY-NC-ND

Mamata Parhi
- Faculty of Business and Law - Head of Subject
- Centre for Sustainability and Responsible Management
Person: Academic

Cite this

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AU - Zhang, Zhuang

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AB - 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.

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Long memory interdependency and inefficiency in Bitcoin markets

Abstract

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Mamata Parhi

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