Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

被引：193

作者：

Al-Yahyaee, Khamis Hamed ^{[1
]}

Mensi, Walid ^{[1
,2
]}

Yoon, Seong-Min ^{[3
]}

机构：

[1] Sultan Qaboos Univ, Dept Econ & Finance, Muscat, Oman

[2] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[3] Pusan Natl Univ, Dept Econ, Jangjeon 2 Dong, Busan 609735, South Korea

来源：

FINANCE RESEARCH LETTERS | 2018年 / 27卷

基金：

新加坡国家研究基金会;

关键词：

Bitcoin; Efficient market hypothesis; Long memory; Hurst exponent; MF-DFA; INEFFICIENCY;

D O I：

10.1016/j.frl.2018.03.017

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.

引用

页码：228 / 234

页数：7

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