The Inefficiency of Litecoin: A Dynamic Analysis

R. K. Jana (), Aviral Tiwari and Shawkat Hammoudeh
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R. K. Jana: Indian Institute of Management Raipur
Shawkat Hammoudeh: Montpellier Business School

Journal of Quantitative Economics, 2019, vol. 17, issue 2, No 12, 447-457

Abstract: Abstract We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns.

Keywords: Inefficiency; Litecoin; Multifractality; C65; G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40953-018-0149-0

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