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Informational efficiency of Bitcoin—An extension

Author

Listed:
  • Aviral Kumar Tiwari

    (ICFAI University Tripura)

  • R.K. Jana
  • Debojyoti Das
  • David Roubaud

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

Abstract

We revisit the issue of informational efficiency of Bitcoin using a battery of computationally efficient long-range dependence estimators for a period spanning over July 18, 2010 to June 16, 2017. We report that the market is informational efficient as consistent to recent findings of Urquhart (2016), Nadarajah and Chu (2017) and Bariviera (2017).

Suggested Citation

  • Aviral Kumar Tiwari & R.K. Jana & Debojyoti Das & David Roubaud, 2018. "Informational efficiency of Bitcoin—An extension," Post-Print hal-02091763, HAL.
    • Handle: RePEc:hal:journl:hal-02091763
    DOI: 10.1016/j.econlet.2017.12.006
    as

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    References listed on IDEAS

    as
    1. Urquhart, Andrew, 2017. "Price clustering in Bitcoin," Economics Letters, Elsevier, vol. 159(C), pages 145-148.
    2. Selgin, George, 2015. "Synthetic commodity money," Journal of Financial Stability, Elsevier, vol. 17(C), pages 92-99.
    3. Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
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    5. Bashan, Amir & Bartsch, Ronny & Kantelhardt, Jan W. & Havlin, Shlomo, 2008. "Comparison of detrending methods for fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5080-5090.
    6. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
    7. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
    8. Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
    9. Amir Bashan & Ronny Bartsch & Jan W. Kantelhardt & Shlomo Havlin, 2008. "Comparison of detrending methods for fluctuation analysis," Papers 0804.4081, arXiv.org.
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