Efficiency or speculation? A dynamic analysis of the Bitcoin market
Refk Selmi (),
Aviral Tiwari () and
Shawkat Hammoudeh ()
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Shawkat Hammoudeh: Lebow College of Business, Drexel University; Montpellier Business School
Economics Bulletin, 2018, vol. 38, issue 4, 2037-2046
Bitcoin has recently been labelled as a â€œdangerous speculative bubbleâ€ by Nobel Prize-winning economists Joseph Stiglitz and Robert Shiller, as the Bitcoin's market value now exceeds the GDP of over 130 countries. In this study, the multifractality and efficiency of the Bitcoin price index are tested, using a nonlinear data analysis technique called the multifractal detrended fluctuation analysis (MF-DFA). In addition, we assess the time-variations in the market efficiency level through using a rolling-window framework. Our evidence shows that the efficiency of the Bitcoin market changes over time and this market seems to be more efficient during downward than upward periods. We also find that Bitcoin is marked by a persistent long memory phenomenon in its short- term components, which could be interpreted as a possible speculation by investors.
Keywords: Bitcoin; efficiency; speculation; multifractal detrended fluctuation analysis. (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-18-00395
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