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Long Memory Interdependency and Inefficiency in Bitcoin Markets

Author

Listed:
  • Cheah, Eng-Tuck
  • Mishra, Tapas
  • Parhi, Mamata
  • Zhang, Zhuang

Abstract

We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship.

Suggested Citation

  • Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018. "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, vol. 167(C), pages 18-25.
    • Handle: RePEc:eee:ecolet:v:167:y:2018:i:c:p:18-25
    DOI: 10.1016/j.econlet.2018.02.010
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    References listed on IDEAS

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    More about this item

    Keywords

    Cross-market Bitcoin prices; Long-memory; Efficient market hypothesis; Fractionally cointegrated VAR;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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