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On Bitcoin markets (in)efficiency and its evolution

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 257-262

Abstract: We study efficiency of two Bitcoin markets (with respect to the US dollar and Chinese yuan) and its evolution in time. As inefficiency can manifest through various channels, we utilize the Efficiency Index of Kristoufek & Vosvrda (2013) which can cover different types of (in)efficiency measures. We find strong evidence of both Bitcoin markets remaining mostly inefficient between 2010 and 2017 with exceptions of several periods directly connected to cooling down after the bubble-like price surges.

Keywords: Bitcoin; Efficient market hypothesis; Efficiency index; Long-range dependence; Fractal dimension; Entropy (search for similar items in EconPapers)
Date: 2018
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262