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The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average

Wei Zhang, Pengfei Wang, Xiao Li and Dehua Shen ()

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 658-670

Abstract: As a form of cryptocurrency, the issue of informational efficiency of Bitcoin has received much attention recently. We add to the literature by investigating nine forms of cryptocurrencies, i.e., Bitcoin, Ripple, Ethereum, NEM, Stellar, Litecoin, Dash, Monero and Verge, with a battery of efficiency tests and the empirical results indicate that all these cryptocurrencies are inefficient markets. What is more, we further construct a value-weighted Cryptocurrency Composite Index (CCI) and show that CCI and Dow Jones Industrial Average are persistently cross-correlated.

Keywords: Market efficiency; Cryptocurrency; Random walk; Hurst exponent; Rolling windows; Cross-correlation (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.physa.2018.07.032

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