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Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration

Olaoluwa Yaya (), Ahamuefula Ogbonna (), Robert Mudida and Nuruddeen Abu

International Journal of Finance & Economics, 2021, vol. 26, issue 1, 1318-1335

Abstract: This article investigates both market efficiency and volatility persistence in 12 cryptocurrencies during pre‐crash and post‐crash periods. The article contributes to the debate on the market efficiency of cryptocurrencies in the presence of volatility, considering robust fractional integration methods in both linear and nonlinear setups. We find that markets of Bitcoin and most altcoins considered in our study can be dubbed as efficient, and are also highly volatile, particularly, in the post‐crash period that we are experiencing now. The volatilities are more likely to persist for a shorter period than volatilities in the pre‐crash period. Our work, therefore, renders important information to cryptocurrency market participants and portfolio managers.

Date: 2021
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Working Paper: Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration (2019) Downloads
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