IDEAS home Printed from https://ideas.repec.org/a/eco/journ1/2018-05-35.html
   My bibliography  Save this article

Mean Sojourn and Mean Return Time of the Buy-hoard-sell Strategy of Bitcoin Exchange Prices

Author

Listed:
  • Ifeoma Christy Mba

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Emmanuel Ikechukwu Mba

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Jonathan Emenike Ogbuabor

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Winnie Ogochukwu Arazu

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

Abstract

A three state Markov chain procedure for testing the Bitcoin exchange rate prices via the mean return and mean sojourn times were applied in this study from January 2016 to February 2017. The data were of a daily basis. The analysis were conducted on the Buy-Hoard-Sell strategies of the Bitcoin exchange rate and it was discovered that the hoard state was a more difficult one to enter and once entered, it takes a longer time to come out. It was also discovered that the buy state and sell states were preferred because it has a high speed of transition. The steady state values also showed that in the long run, it takes 49% for the buy state to achieve its steady state level, 43% for the sell state and 8% for the hoard state. With these information, the hoard state was still not preferred in the Bitcoin exchange market.

Suggested Citation

  • Ifeoma Christy Mba & Emmanuel Ikechukwu Mba & Jonathan Emenike Ogbuabor & Winnie Ogochukwu Arazu, 2018. "Mean Sojourn and Mean Return Time of the Buy-hoard-sell Strategy of Bitcoin Exchange Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 276-282.
    • Handle: RePEc:eco:journ1:2018-05-35
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijefi/article/download/6777/pdf
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijefi/article/view/6777/pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Frode Kj rland & Maria Meland & Are Oust & Vilde yen, 2018. "How can Bitcoin Price Fluctuations be Explained?," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 323-332.
    2. Jan-Christian Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018," Papers 1804.06261, arXiv.org, revised May 2019.
    3. Adrian (Wai-Kong) Cheung & Eduardo Roca & Jen-Je Su, 2015. "Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2348-2358, May.
    4. 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.
    5. J-C Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series 18-30, Swiss Finance Institute.
    Full references (including those not matched with items on IDEAS)

    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.
    1. 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.
    2. Bouri, Elie & Gupta, Rangan & Lahiani, Amine & Shahbaz, Muhammad, 2018. "Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices," Resources Policy, Elsevier, vol. 57(C), pages 224-235.
    3. Greg W. Hunter & Craig Kerr, 2019. "Virtual Money Illusion and the Fundamental Value of Non-Fiat Anonymous Digital Payment Methods," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(2), pages 151-164, May.
    4. 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.
    5. Coskun, Esra Alp & Lau, Chi Keung Marco & Kahyaoglu, Hakan, 2020. "Uncertainty and herding behavior: evidence from cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 54(C).
    6. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
    7. Enoksen, F.A. & Landsnes, Ch.J. & Lučivjanská, K. & Molnár, P., 2020. "Understanding risk of bubbles in cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 129-144.
    8. Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
    9. Xiong, Jinwu & Liu, Qing & Zhao, Lei, 2020. "A new method to verify Bitcoin bubbles: Based on the production cost," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    10. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    11. Zheng-Zheng Li & Ran Tao & Chi-Wei Su & Oana-Ramona Lobonţ, 2019. "Does Bitcoin bubble burst?," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(1), pages 91-105, January.
    12. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. 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.
    14. 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.
    15. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    16. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
    17. 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).
    18. Wolfgang Karl Härdle & Campbell R Harvey & Raphael C G Reule, 2020. "Understanding Cryptocurrencies," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 181-208.
    19. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96705, University Library of Munich, Germany.
    20. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.

    More about this item

    Keywords

    Markov; Buy-Hoard-Sell; Bitcoin;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    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:eco:journ1:2018-05-35. 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: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.