Are shocks on the returns and volatility of cryptocurrencies really persistent?

Lanouar Charfeddine and Youcef Maouchi

Finance Research Letters, 2019, vol. 28, issue C, 423-430

Abstract: This letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter shows that the LRD behavior exhibited by the returns and volatility series of Bitcoin, Litecoin, and Ripple is a true behavior, and not a statistical artifact. As for Ethereum, the results show that the true LRD is only supported for the volatility series. Our results confirm the inefficiency of all the considered markets, with the exception of Ethereum.

Keywords: Cryptocurrencies; Returns; Volatility; True versus spurious behavior; Long range dependence; Structural changes (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318302332
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:28:y:2019:i:c:p:423-430

DOI: 10.1016/j.frl.2018.06.017

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 ().