Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

Khamis Hamed Al-Yahyaee, Walid Mensi and Seong-Min Yoon

Finance Research Letters, 2018, vol. 27, issue C, 228-234

Abstract: 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)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (126)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318300242
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:228-234

DOI: 10.1016/j.frl.2018.03.017

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().