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Efficiency of the Brazilian Bitcoin: A DFA Approach

Author

Listed:
  • Derick Quintino

    (Department of Economics, Administration and Sociology, University of São Paulo, Piracicaba 13418-900, Brazil)

  • Jessica Campoli

    (Department of Economics, Administration and Sociology, University of São Paulo, Piracicaba 13418-900, Brazil)

  • Heloisa Burnquist

    (Department of Economics, Administration and Sociology, University of São Paulo, Piracicaba 13418-900, Brazil)

  • Paulo Ferreira

    (VALORIZA—Research Center for Endogenous Resource Valorization, 7300 Portalegre, Portugal
    Instituto Politécnico de Portalegre, 7300 Portalegre, Portugal
    CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal)

Abstract

Bitcoin’s evolution has attracted the attention of investors and researchers looking for a better understanding of the efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this understanding by studying the degree of persistence of the Bitcoin measured by the Hurst exponent, considering prices from the Brazilian market, and comparing with Bitcoin in USD as a benchmark. We applied Detrended Fluctuation Analysis (DFA), for the period from 9 April 2017 to 30 June 2018, using daily closing prices, with a total of 429 observations. We focused on two prices of Bitcoins resulting from negotiations made by two different Brazilian financial institutions: Foxbit and Mercado. The results indicate that Mercado and Foxbit returns tend to follow Bitcoin dynamics and all of them show persistent behavior, although the persistence in slightly higher for the Brazilian Bitcoin. However, this evidence does not necessarily mean opportunities for abnormal profits, as aspects such as liquidity or transaction costs could be impediments to this occurrence.

Suggested Citation

  • Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    • Handle: RePEc:gam:jijfss:v:8:y:2020:i:2:p:25-:d:347854
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    References listed on IDEAS

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