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Long Memory Interdependency and Inefficiency in Bitcoin Markets

Jeremy Eng Tuck Cheah, Tapas Mishra (), Mamata Parhi and Zhuang Zhang

Economics Letters, 2018, vol. 167, issue C, 18-25

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.

Keywords: Cross-market Bitcoin prices; Long-memory; Efficient market hypothesis; Fractionally cointegrated VAR (search for similar items in EconPapers)
JEL-codes: C22 C32 E44 G14 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econlet.2018.02.010

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