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The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies

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  • Sensoy, Ahmet

Abstract

We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:68-73
    DOI: 10.1016/j.frl.2018.04.002
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    More about this item

    Keywords

    Efficient market hypothesis (EMH); Bitcoin; Permutation entropy;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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