Informational inefficiency of Bitcoin: A study based on high-frequency data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ribaf.2018.08.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- David Garcia & Claudio Juan Tessone & Pavlin Mavrodiev & Nicolas Perony, 2014. "The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy," Papers 1408.1494, arXiv.org.
- Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016.
"The economics of BitCoin price formation,"
Applied Economics, Taylor & Francis Journals, vol. 48(19), pages 1799-1815, April.
- Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2014. "The Economics of BitCoin Price Formation," EERI Research Paper Series EERI RP 2014/08, Economics and Econometrics Research Institute (EERI), Brussels.
- Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2014. "The Economics of BitCoin Price Formation," Papers 1405.4498, arXiv.org.
- Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari & Olaolu Richard Olayeni, 2016.
"What drives Bitcoin price?,"
Economics Bulletin, AccessEcon, vol. 36(2), pages 843-850.
- Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari, 2016. "What drives Bitcoin price?," Post-Print hal-01879673, HAL.
- Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018.
"Informational efficiency of Bitcoin—An extension,"
Economics Letters, Elsevier, vol. 163(C), pages 106-109.
- Aviral Kumar Tiwari & R.K. Jana & Debojyoti Das & David Roubaud, 2018. "Informational efficiency of Bitcoin—An extension," Post-Print hal-02091763, HAL.
- Urquhart, Andrew, 2018. "What causes the attention of Bitcoin?," Economics Letters, Elsevier, vol. 166(C), pages 40-44.
- repec:agr:journl:v:1(590):y:2014:i:1(590):p:103-114 is not listed on IDEAS
- Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
- Anton Badev & Matthew Chen, 2014. "Bitcoin: Technical Background and Data Analysis," Finance and Economics Discussion Series 2014-104, Board of Governors of the Federal Reserve System (U.S.).
- Bouri, Elie & Azzi, Georges & Dyhrberg, Anne Haubo, 2017.
"On the return-volatility relationship in the Bitcoin market around the price crash of 2013,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-16.
- Bouri, Elie & Azzi, Georges & Haubo Dyhrberg, Anne, 2016. "On the return-volatility relationship in the Bitcoin market around the price crash of 2013," Economics Discussion Papers 2016-41, Kiel Institute for the World Economy (IfW Kiel).
- Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
- Kuan Chung-Ming & Lee Wei-Ming, 2004.
"A New Test of the Martingale Difference Hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
- Chung-Ming Kuan & Wei-Ming Lee, 2003. "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research 03-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Bariviera, Aurelio F., 2017.
"The inefficiency of Bitcoin revisited: A dynamic approach,"
Economics Letters, Elsevier, vol. 161(C), pages 1-4.
- Aurelio F. Bariviera, 2017. "The inefficiency of Bitcoin revisited: a dynamic approach," Papers 1709.08090, arXiv.org.
- Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
- David Garcia & Claudio Tessone & Pavlin Mavrodiev & Nicolas Perony, "undated". "The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy," Working Papers ETH-RC-14-001, ETH Zurich, Chair of Systems Design.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
- Chow, K. Victor & Denning, Karen C., 1993.
"A simple multiple variance ratio test,"
Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
- Tom Doan, "undated". "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
- Chen, Willa W. & Deo, Rohit S., 2006.
"The Variance Ratio Statistic At Large Horizons,"
Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
- Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, University Library of Munich, Germany.
- Thomas Kim, 2015. "The Predecessors of Bitcoin and Their Implications for the Prospect of Virtual Currencies," PLOS ONE, Public Library of Science, vol. 10(4), pages 1-18, April.
- Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017.
"Some stylized facts of the Bitcoin market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
- Aurelio F. Bariviera & Mar'ia Jos'e Basgall & Waldo Hasperu'e & Marcelo Naiouf, 2017. "Some stylized facts of the Bitcoin market," Papers 1708.04532, arXiv.org.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
- Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
- Cheah, Eng-Tuck & Fry, John, 2015. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin," Economics Letters, Elsevier, vol. 130(C), pages 32-36.
- Stefan Bornholdt & Kim Sneppen, 2014. "Do Bitcoins make the world go round? On the dynamics of competing crypto-currencies," Papers 1403.6378, arXiv.org.
- Dyhrberg, Anne Haubo, 2016. "Bitcoin, gold and the dollar – A GARCH volatility analysis," Finance Research Letters, Elsevier, vol. 16(C), pages 85-92.
- Choi, In, 1999.
"Testing the Random Walk Hypothesis for Real Exchange Rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June.
- In Choi, 1999. "Testing the random walk hypothesis for real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May.
- Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
- Brandvold, Morten & Molnár, Peter & Vagstad, Kristian & Andreas Valstad, Ole Christian, 2015. "Price discovery on Bitcoin exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 18-35.
- Angela ROGOJANU & Liana BADEA, 2014. "The issue of competing currencies. Case study – Bitcoin," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(590)), pages 103-114, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
- Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
- Zargar, Faisal Nazir & Kumar, Dilip, 2019. "Long range dependence in the Bitcoin market: A study based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 625-640.
- Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
- Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021.
"Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis,"
Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
- Aurelio F. Bariviera & Ignasi Merediz-Sol`a, 2020. "Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis," Papers 2003.09723, arXiv.org.
- Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
- Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
- Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019.
"The effects of markets, uncertainty and search intensity on bitcoin returns,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
- Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
- Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
- Lennart Ante, 2020. "A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1305-1333, August.
- Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
- Francisco Javier García-Corral & José Antonio Cordero-García & Jaime de Pablo-Valenciano & Juan Uribe-Toril, 2022. "A bibliometric review of cryptocurrencies: how have they grown?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
- Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
- Cagli, Efe Caglar, 2019. "Explosive behavior in the prices of Bitcoin and altcoins," Finance Research Letters, Elsevier, vol. 29(C), pages 398-403.
- Haffar, Adlane & Le Fur, Eric, 2021. "Structural vector error correction modelling of Bitcoin price," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 170-178.
- Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
- Pedro Bação & António Portugal Duarte & Helder Sebastião & Srdjan Redzepagic, 2018.
"Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?,"
Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(2), pages 97-117, June.
- Bação Pedro & Duarte António Portugal & Sebastião Helder & Redzepagic Srdjan, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," Scientific Annals of Economics and Business, Sciendo, vol. 65(2), pages 97-117, June.
- Pedro Bação & António Portugal Duarte & Hélder Sebastião & Srdjan Redzepagic, 2018. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," CeBER Working Papers 2018-06, Centre for Business and Economics Research (CeBER), University of Coimbra.
- Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
- Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
More about this item
Keywords
Bitcoin; Informational efficiency; High-frequency data;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:47:y:2019:i:c:p:344-353. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.