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On Bitcoin markets (in)efficiency and its evolution

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  • Kristoufek, Ladislav

Abstract

We study efficiency of two Bitcoin markets (with respect to the US dollar and Chinese yuan) and its evolution in time. As inefficiency can manifest through various channels, we utilize the Efficiency Index of Kristoufek & Vosvrda (2013) which can cover different types of (in)efficiency measures. We find strong evidence of both Bitcoin markets remaining mostly inefficient between 2010 and 2017 with exceptions of several periods directly connected to cooling down after the bubble-like price surges.

Suggested Citation

  • Kristoufek, Ladislav, 2018. "On Bitcoin markets (in)efficiency and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 257-262.
    • Handle: RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262
    DOI: 10.1016/j.physa.2018.02.161
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    References listed on IDEAS

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