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

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  • Al-Yahyaee, Khamis Hamed
  • Mensi, Walid
  • Yoon, Seong-Min

Abstract

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.

Suggested Citation

  • Al-Yahyaee, Khamis Hamed & Mensi, Walid & Yoon, Seong-Min, 2018. "Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets," Finance Research Letters, Elsevier, vol. 27(C), pages 228-234.
    • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:228-234
    DOI: 10.1016/j.frl.2018.03.017
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Efficient market hypothesis; Long memory; Hurst exponent; MF-DFA;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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