Cryptocurrency Market Efficiency: Evidence from Wavelet Analysis

被引：0
作者：
Fidrmuc, Jarko [1 ,2 ]
Kapounek, Svatopluk [2 ]
Junge, Frederik [1 ]
机构：
[1] Zeppelin Univ Friedrichshafen, Seemooser Horn 29, D-88045 Friedrichshafen, Germany
[2] Mendel Univ Brno, Fac Business & Econ, Zemedelska 1, Brno 61300, Czech Republic
来源：
FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 70卷 / 02期
关键词：
efficient market hypothesis; market arbitrage; wavelet analysis; PRICE; INEFFICIENCY; HYPOTHESIS; RETURNS; GUIDE;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine daily USD returns for Bitcoin, Ethereum and Litecoin between October 2013 and September 2019 at six separate exchanges employing wavelet methodology. This approach, as compared to the standard time domain analysis, is superior because it tests the existence of cyclical persistencies at different investment horizons. We identify significant but temporal cyclical movements and coherence between the markets at high frequencies which is broadly consistent with market inefficiency given liquidity constraints of cryptocurrencies. Moreover, we identify temporal temporal arbitrage opportunities between the selected exchanges.
引用
收藏
页码：121 / 144
页数：24
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