The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies
Finance Research Letters, 2019, vol. 28, issue C, 68-73
We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.
Keywords: Efficient market hypothesis (EMH); Bitcoin; Permutation entropy (search for similar items in EconPapers)
JEL-codes: C53 G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:68-73
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