Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets
Al-Yahyaee, Khamis Hamed,
Walid Mensi and
Seong-Min Yoon ()
Finance Research Letters, 2018, vol. 27, issue C, 228-234
This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.
Keywords: Bitcoin; Efficient market hypothesis; Long memory; Hurst exponent; MF-DFA (search for similar items in EconPapers)
JEL-codes: C58 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:228-234
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