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The Inefficiency of Litecoin: A Dynamic Analysis

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Listed:
  • R. K. Jana

    (Indian Institute of Management Raipur)

  • Aviral Kumar Tiwari

    (Montpellier Business School)

  • Shawkat Hammoudeh

    (Montpellier Business School
    Drexel University)

Abstract

We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns.

Suggested Citation

  • R. K. Jana & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2019. "The Inefficiency of Litecoin: A Dynamic Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 447-457, June.
    • Handle: RePEc:spr:jqecon:v:17:y:2019:i:2:d:10.1007_s40953-018-0149-0
    DOI: 10.1007/s40953-018-0149-0
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    References listed on IDEAS

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    Cited by:

    1. R. K. Jana & Indranil Ghosh & Debojyoti Das, 2021. "A differential evolution-based regression framework for forecasting Bitcoin price," Annals of Operations Research, Springer, vol. 306(1), pages 295-320, November.

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