THRESHOLD EFFECT IN BITCOIN PRICES

被引：0

作者：

Gemici, Eray ^{[1
]}

Polat, Muslum ^{[2
]}

机构：

[1] Gaziantep Univ, Islahiye Iktisadi & Idari Bilimler Fak, Isletme Bolumu, Gaziantep, Turkey

[2] Bingol Univ, Iktisadi & Idari Bilimler Fak, Isletme Bolumu, Bingol, Turkey

来源：

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY | 2019年 / 6卷 / 03期

关键词：

Bitcoin; Threshold Value; TAR Model; Efficient Market Hypothesis; INEFFICIENCY; INVESTMENT; EFFICIENCY; VOLATILITY; ECONOMICS; MARKETS;

D O I：

10.30798/makuiibf.593500

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the price behavior of Bitcoin using a two-regime TAR model, which is an autoregressive unit root. In the study, the method developed by Caner and Hansen (2001) was used which simultaneously tested non-stationary and non-linearity. For this purpose, the data set of Bitcoin closing prices for 16.07.2010 - 27.11.2018 period (3.056 daily observations) has been created to determine whether Bitcoin prices are efficient or not. The findings support the hypothesis that Bitcoin prices are efficient in weak form for the whole period. However, considering the switching between the regimes, it was concluded that there are two regimes in the Bitcoin price series. In the first regime, the hypothesis of efficient markets in the weak form is valid, but not in the second regime.

引用

页码：669 / 681

页数：13

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