Persistence in the cryptocurrency market

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex)

Authors:

Caporale, G.M. (Guglielmo M.)

Gil-Alana, L.A. (Luis A.)

Plastun, A. (Alex)

Keywords:

Crypto currency
BitCoin
Persistence
Long memory
R/S analysis
Fractional integration

Issue Date:

2018

Publisher:

Elsevier BV

Project:

info:eu-repo/grantAgreement/MINECO/Retos Investigación: Proyectos de I+D+I (2014)/ECO2014-55236/ES/INTEGRACION FRACCIONAL, PRODUCTIVIDAD DE LAS EMPRESAS Y EVALUACION DE POLITICAS EN LOS PAISES EN VIAS DE DESARROLLO

ISSN:

0275-5319

Note:

This is an open access article under the CC BY license (http://creativecommons.org/licenses/BY/4.0/).

Citation:

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex). "Persistence in the cryptocurrency market". Research in international business and finance. 46, 2018, 141 - 148

Abstract

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.

URI:

https://hdl.handle.net/10171/65727

DOI:

10.1016/j.ribaf.2018.01.002

Appears in Collections:

DA - Economía - Artículo de revista

Files in This Item: