Do bitcoins follow a random walk model?

Divya Aggarwal

Research in Economics, 2019, vol. 73, issue 1, 15-22

Abstract: Bitcoins have become a fad among investors despite of the ambiguity surrounding on its nature and characteristics. This study aims to contribute to the existing literature of examining bitcoin returns under a financial asset purview. Through multiple robust tests, the market efficiency of daily bitcoin returns is analyzed for the time frame of July 2010 till March 2018. Strong evidence of market inefficiency characterized by absence of random walk model is found. The market inefficiency was found attributable to the presence of asymmetric volatility clustering. More studies are needed to examine the temporal dynamics of bitcoin returns.

Keywords: Bitcoin; Cryptocurrency; Random walk model; Auto regressive conditional heteroscedasticity; Volatility; Asymmetric (search for similar items in EconPapers)
JEL-codes: G10 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 (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:73:y:2019:i:1:p:15-22

DOI: 10.1016/j.rie.2019.01.002

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