Efficiency of the Brazilian Bitcoin: A DFA Approach

Derick Quintino, Jessica Campoli, Heloisa Burnquist and Paulo Ferreira
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Jessica Campoli: Department of Economics, Administration and Sociology, University of São Paulo, Piracicaba 13418-900, Brazil
Heloisa Burnquist: Department of Economics, Administration and Sociology, University of São Paulo, Piracicaba 13418-900, Brazil

IJFS, 2020, vol. 8, issue 2, 1-9

Abstract: Bitcoin’s evolution has attracted the attention of investors and researchers looking for a better understanding of the efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this understanding by studying the degree of persistence of the Bitcoin measured by the Hurst exponent, considering prices from the Brazilian market, and comparing with Bitcoin in USD as a benchmark. We applied Detrended Fluctuation Analysis (DFA), for the period from 9 April 2017 to 30 June 2018, using daily closing prices, with a total of 429 observations. We focused on two prices of Bitcoins resulting from negotiations made by two different Brazilian financial institutions: Foxbit and Mercado. The results indicate that Mercado and Foxbit returns tend to follow Bitcoin dynamics and all of them show persistent behavior, although the persistence in slightly higher for the Brazilian Bitcoin. However, this evidence does not necessarily mean opportunities for abnormal profits, as aspects such as liquidity or transaction costs could be impediments to this occurrence.

Keywords: Bitcoin; Brazilian market; efficiency; DFA; Hurst exponent (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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