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On the inefficiency of Bitcoin

Citations

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Cited by:

  1. Wu, Shan & Tong, Mu & Yang, Zhongyi & Derbali, Abdelkader, 2019. "Does gold or Bitcoin hedge economic policy uncertainty?," Finance Research Letters, Elsevier, vol. 31(C), pages 171-178.
  2. Boako, Gideon & Tiwari, Aviral Kumar & Roubaud, David, 2019. "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, Elsevier, vol. 158(C), pages 77-90.
  3. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
  4. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
  5. Bouraoui, Taoufik, 2020. "The drivers of Bitcoin trading volume in selected emerging countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 218-229.
  6. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
  7. Onur Gozbasi & Buket Altinoz & Eyup Ensar Sahin, 2021. "Is Bitcoin a Safe Haven? A Study on the Factors that Affect Bitcoin Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 35-40.
  8. Urquhart, Andrew, 2018. "What causes the attention of Bitcoin?," Economics Letters, Elsevier, vol. 166(C), pages 40-44.
  9. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
  10. Aysan, Ahmet Faruk & Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "Effects of the geopolitical risks on Bitcoin returns and volatility," Research in International Business and Finance, Elsevier, vol. 47(C), pages 511-518.
  11. Beneki, Christina & Koulis, Alexandros & Kyriazis, Nikolaos A. & Papadamou, Stephanos, 2019. "Investigating volatility transmission and hedging properties between Bitcoin and Ethereum," Research in International Business and Finance, Elsevier, vol. 48(C), pages 219-227.
  12. Tandon, Anushree & Kaur, Puneet & Mäntymäki, Matti & Dhir, Amandeep, 2021. "Blockchain applications in management: A bibliometric analysis and literature review," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
  13. Christie Smith & Aaron Kumar, 2018. "Crypto‐Currencies – An Introduction To Not‐So‐Funny Moneys," Journal of Economic Surveys, Wiley Blackwell, vol. 32(5), pages 1531-1559, December.
  14. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
  15. Rolando Rubilar-Torrealba & Karime Chahuán-Jiménez & Hanns de la Fuente-Mella, 2023. "A Stochastic Analysis of the Effect of Trading Parameters on the Stability of the Financial Markets Using a Bayesian Approach," Mathematics, MDPI, vol. 11(11), pages 1-14, May.
  16. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Al-Jarrah, Idries Mohammad Wanas & Kang, Sang Hoon, 2019. "Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 283-294.
  17. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.
  18. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
  19. Smaniotto, Emanuelle Nava & Neto, Giacomo Balbinotto, 2022. "Speculative trading in Bitcoin: A Brazilian market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 47-54.
  20. Giudici, Paolo & Abu-Hashish, Iman, 2019. "What determines bitcoin exchange prices? A network VAR approach," Finance Research Letters, Elsevier, vol. 28(C), pages 309-318.
  21. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
  22. Gill-de-Albornoz, Belén & Lafuente, Juan A. & Monfort, Mercedes & Ordoñez, Javier, 2024. "Bitcoin attention and economic policy uncertainty," Finance Research Letters, Elsevier, vol. 60(C).
  23. Arthur A. B. Pessa & Matjaz Perc & Haroldo V. Ribeiro, 2023. "Age and market capitalization drive large price variations of cryptocurrencies," Papers 2302.12319, arXiv.org.
  24. Andrea Barbon & Angelo Ranaldo, 2021. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Papers 2112.07386, arXiv.org, revised Sep 2024.
  25. Ante, Lennart, 2023. "How Elon Musk's Twitter activity moves cryptocurrency markets," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
  26. De Pace, Pierangelo & Rao, Jayant, 2023. "Comovement and instability in cryptocurrency markets," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 173-200.
  27. Corbet, Shaen & Larkin, Charles & Lucey, Brian & Meegan, Andrew & Yarovaya, Larisa, 2020. "Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position," Journal of Financial Stability, Elsevier, vol. 46(C).
  28. Kurka, Josef, 2019. "Do cryptocurrencies and traditional asset classes influence each other?," Finance Research Letters, Elsevier, vol. 31(C), pages 38-46.
  29. Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
  30. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
  31. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
  32. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
  33. Singh, Sanjeet & Bansal, Pooja & Bhardwaj, Nav, 2022. "Correlation between geopolitical risk, economic policy uncertainty, and Bitcoin using partial and multiple wavelet coherence in P5 + 1 nations," Research in International Business and Finance, Elsevier, vol. 63(C).
  34. Erdinc Akyildirim & Ahmet Goncu & Ahmet Sensoy, 2021. "Prediction of cryptocurrency returns using machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 3-36, February.
  35. Corbet, Shaen & Eraslan, Veysel & Lucey, Brian & Sensoy, Ahmet, 2019. "The effectiveness of technical trading rules in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 31(C), pages 32-37.
  36. Hau, Liya & Zhu, Huiming & Shahbaz, Muhammad & Sun, Wuqin, 2021. "Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  37. Matkovskyy, Roman, 2019. "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 270-279.
  38. Ikhlaas Gurrib & Mohammad Nourani & Rajesh Kumar Bhaskaran, 2022. "Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-27, December.
  39. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  40. 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.
  41. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
  42. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
  43. Deprez, Niek & Frömmel, Michael, 2024. "Are simple technical trading rules profitable in bitcoin markets?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 858-874.
  44. Mensi, Walid & Sensoy, Ahmet & Aslan, Aylin & Kang, Sang Hoon, 2019. "High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  45. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
  46. 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.
  47. Kim, Wonse & Lee, Junseok & Kang, Kyungwon, 2020. "The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns," Finance Research Letters, Elsevier, vol. 33(C).
  48. Nidhal Mgadmi & Azza Béjaoui & Wajdi Moussa, 2023. "Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 457-473, September.
  49. Naseem Al Rahahleh & Ahmed Al Qurashi, 2024. "The impact of COVID-19 on Ethereum returns and Ethereum market efficiency," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 729-755, September.
  50. Gkillas, Konstantinos & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2022. "Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 398-406.
  51. Parthajit Kayal & G. Balasubramanian, 2021. "Excess Volatility in Bitcoin: Extreme Value Volatility Estimation," IIM Kozhikode Society & Management Review, , vol. 10(2), pages 222-231, July.
  52. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
  53. Borri, Nicola & Shakhnov, Kirill, 2020. "Regulation spillovers across cryptocurrency markets," Finance Research Letters, Elsevier, vol. 36(C).
  54. Aloosh, Arash & Ouzan, Samuel, 2020. "The psychology of cryptocurrency prices," Finance Research Letters, Elsevier, vol. 33(C).
  55. Aysu Ahmadova & Taghi Guliyev & Khatai Aliyev, 2024. "The Relationship between Bitcoin and Nasdaq, U.S. Dollar Index and Commodities," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 281-289, January.
  56. Sangram Keshari Jena & Aviral Kumar Tiwari & Buhari Doğan & Shawkat Hammoudeh, 2022. "Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3730-3740, July.
  57. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
  58. Cagli, Efe Caglar, 2019. "Explosive behavior in the prices of Bitcoin and altcoins," Finance Research Letters, Elsevier, vol. 29(C), pages 398-403.
  59. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
  60. Jiang, Yonghong & Nie, He & Ruan, Weihua, 2018. "Time-varying long-term memory in Bitcoin market," Finance Research Letters, Elsevier, vol. 25(C), pages 280-284.
  61. Brauneis, Alexander & Mestel, Roland, 2018. "Price discovery of cryptocurrencies: Bitcoin and beyond," Economics Letters, Elsevier, vol. 165(C), pages 58-61.
  62. Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
  63. Christian M Hafner, 2020. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 233-249.
  64. 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.
  65. Dehua Shen & Andrew Urquhart & Pengfei Wang, 2020. "Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks," European Financial Management, European Financial Management Association, vol. 26(5), pages 1294-1323, November.
  66. Białkowski, Jędrzej, 2020. "Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules," Economics Letters, Elsevier, vol. 191(C).
  67. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2021. "Inflation and Bitcoin: A descriptive time-series analysis," Economics Letters, Elsevier, vol. 203(C).
  68. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
  69. Lee, Jangyoun & Oh, Taehee, 2022. "The Kimchi premium and bitcoin-cashing outlets," Finance Research Letters, Elsevier, vol. 50(C).
  70. 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.
  71. Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
  72. Rasim Özcan & Asad ul Islam KHAN & Sundas Iftikhar, 2024. "Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(1), pages 113-132, March.
  73. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
  74. Duan, Kun & Zhang, Liya & Urquhart, Andrew & Yao, Kai & Peng, Long, 2024. "Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency," Research in International Business and Finance, Elsevier, vol. 70(PB).
  75. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
  76. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
  77. José Antonio Núñez & Mario I Contreras-Valdez & Carlos A Franco-Ruiz, 2019. "Statistical analysis of bitcoin during explosive behavior periods," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-22, March.
  78. Yang Hu & Les Oxley & Chunlin Lang, 2019. "Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests," Working Papers in Economics 19/12, University of Waikato.
  79. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
  80. Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
  81. Noshaba Zulfiqar & Saqib Gulzar, 2021. "Implied volatility estimation of bitcoin options and the stylized facts of option pricing," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
  82. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
  83. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  84. Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
  85. Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2018. "How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets," Economics Letters, Elsevier, vol. 171(C), pages 140-143.
  86. 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).
  87. Lahmiri, Salim & Bekiros, Stelios & Stavroyiannis, Stavros & Babalos, Vassilios, 2018. "Modelling volatility persistence under stochasticity assumptions: evidence from common and alternative investments," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 158-163.
  88. Paul Handro & Bogdan Dima, 2024. "Analyzing Financial Markets Efficiency: Insights from a Bibliometric and Content Review," Journal of Financial Studies, Institute of Financial Studies, vol. 16(9), pages 119-175, May.
  89. Li, Zijian & Meng, Qiaoyu, 2022. "Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  90. Tomé Lima & Helder Sebastião, 2023. "Native Market Factors for Pricing Cryptocurrencies," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 71-85, December.
  91. Zhuhua Jiang & Walid Mensi & Seong-Min Yoon, 2023. "Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
  92. Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
  93. Sensoy, Ahmet, 2019. "The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies," Finance Research Letters, Elsevier, vol. 28(C), pages 68-73.
  94. Sapkota, Niranjan & Grobys, Klaus, 2021. "Asset market equilibria in cryptocurrency markets: Evidence from a study of privacy and non-privacy coins," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  95. Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
  96. Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
  97. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
  98. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
  99. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets," Economics Letters, Elsevier, vol. 206(C).
  100. Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
  101. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
  102. Chiara Oldani & Giovanni S. F. Bruno & Marcello Signorelli, 2024. "Economic policy uncertainty and cryptocurrencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 709-728, September.
  103. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2019. "Does twitter predict Bitcoin?," Economics Letters, Elsevier, vol. 174(C), pages 118-122.
  104. Hongjun Zeng & Abdullahi D. Ahmed, 2022. "Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(4), pages 772-802, August.
  105. Zura Kakushadze & Jim Kyung-Soo Liew, 2020. "Coronavirus: Case for Digital Money?," Papers 2005.10154, arXiv.org.
  106. Gianna Figá-Talamanca & Marco Patacca, 2019. "Does market attention affect Bitcoin returns and volatility?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 135-155, June.
  107. Nikolaos A. Kyriazis, 2019. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets," JRFM, MDPI, vol. 12(4), pages 1-17, November.
  108. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  109. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Yoon, Seong-Min, 2018. "Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets," Finance Research Letters, Elsevier, vol. 27(C), pages 228-234.
  110. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
  111. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).
  112. Chen-Han Liu, 2024. "Exploring Calendar Effects in Bitcoin Returns: An Analysis of Market Efficiency," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(4), pages 1-3.
  113. Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2019. "Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market," Papers 1901.04967, arXiv.org.
  114. Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019. "An analysis of cryptocurrencies conditional cross correlations," Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
  115. Vidal-Tomás, David & Ibañez, Ana, 2018. "Semi-strong efficiency of Bitcoin," Finance Research Letters, Elsevier, vol. 27(C), pages 259-265.
  116. 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.
  117. Koutmos, Dimitrios, 2018. "Bitcoin returns and transaction activity," Economics Letters, Elsevier, vol. 167(C), pages 81-85.
  118. Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn, 2024. "After the Split: Market Efficiency of Bitcoin Cash," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 411-427, July.
  119. Turattia, Douglas Eduardo & Mendes, Fernando Henrique P.S. & Caldeira, João Frois, 2020. "Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization," Finance Research Letters, Elsevier, vol. 34(C).
  120. F. N. M. de Sousa Filho & J. N. Silva & M. A. Bertella & E. Brigatti, 2020. "The leverage effect and other stylized facts displayed by Bitcoin returns," Papers 2004.05870, arXiv.org, revised Jan 2021.
  121. George Milunovich, 2018. "Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 551-563, December.
  122. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
  123. Nagula, Pavan Kumar & Alexakis, Christos, 2022. "A new hybrid machine learning model for predicting the bitcoin (BTC-USD) price," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  124. Tu, Zhiyong & Xue, Changyong, 2019. "Effect of bifurcation on the interaction between Bitcoin and Litecoin," Finance Research Letters, Elsevier, vol. 31(C).
  125. Paolo Giudici & Gloria Polinesi, 2021. "Crypto price discovery through correlation networks," Annals of Operations Research, Springer, vol. 299(1), pages 443-457, April.
  126. Wei, Wang Chun, 2018. "Liquidity and market efficiency in cryptocurrencies," Economics Letters, Elsevier, vol. 168(C), pages 21-24.
  127. Eugene Tartakovsky & Ksenia Plesovskikh & Anastasiia Sarmakeeva & Alexander Bibik, 2020. "Autocorrelation of returns in major cryptocurrency markets," Papers 2003.13517, arXiv.org, revised Mar 2020.
  128. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
  129. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
  130. 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.
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