The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies

被引：162
作者：
Sensoy, Ahmet [1 ]
机构：
[1] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey
来源：
FINANCE RESEARCH LETTERS | 2019年 / 28卷
关键词：
Efficient market hypothesis (EMH); Bitcoin; Permutation entropy; PREDICTABILITY DYNAMICS; CRYPTOCURRENCIES;
D O I：
10.1016/j.frl.2018.04.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.
引用
收藏
页码：68 / 73
页数：6
相关论文
共 22 条
  • [1] Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets
    Al-Yahyaee, Khamis Hamed
    Mensi, Walid
    Yoon, Seong-Min
    [J]. FINANCE RESEARCH LETTERS, 2018, 27 : 228 - 234
  • [2] [Anonymous], 2005, Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing
  • [3] Permutation entropy: A natural complexity measure for time series
    Bandt, C
    Pompe, B
    [J]. PHYSICAL REVIEW LETTERS, 2002, 88 (17) : 4
  • [4] The inefficiency of Bitcoin revisited: A dynamic approach
    Bariviera, Aurelio F.
    [J]. ECONOMICS LETTERS, 2017, 161 : 1 - 4
  • [5] Price discovery of cryptocurrencies: Bitcoin and beyond
    Brauneis, Alexander
    Mestel, Roland
    [J]. ECONOMICS LETTERS, 2018, 165 : 58 - 61
  • [6] Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin
    Cheah, Eng-Tuck
    Fry, John
    [J]. ECONOMICS LETTERS, 2015, 130 : 32 - 36
  • [7] Exploring the dynamic relationships between cryptocurrencies and other financial assets
    Corbet, Shaen
    Meegan, Andrew
    Larkin, Charles
    Lucey, Brian
    Yarovaya, Larisa
    [J]. ECONOMICS LETTERS, 2018, 165 : 28 - 34
  • [8] Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
    Demir, Ender
    Gozgor, Giray
    Lau, Chi Keung Marco
    Vigne, Samuel A.
    [J]. FINANCE RESEARCH LETTERS, 2018, 26 : 145 - 149
  • [9] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK
    FAMA, EF
    [J]. JOURNAL OF FINANCE, 1970, 25 (02) : 383 - 423
  • [10] Glantz Morton., 2013, Multi-asset risk modeling: techniques for a global economy in an electronic and algorithmic trading era
123