The inefficiency of Bitcoin

Andrew Urquhart

Economics Letters, 2016, vol. 148, issue C, 80-82

Abstract: Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence reveals that returns are significantly inefficient over our full sample, but when we split our sample into two subsample periods, we find that some tests indicate that Bitcoin is efficient in the latter period. Therefore we conclude that Bitcoin in an inefficient market but may be in the process of moving towards an efficient market.

Keywords: Bitcoin; Market efficiency; Cryptocurrency; Random walk (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (553)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:148:y:2016:i:c:p:80-82

DOI: 10.1016/j.econlet.2016.09.019

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