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Persistence in the cryptocurrency market

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  • Caporale, Guglielmo Maria
  • Gil-Alana, Luis
  • Plastun, Alex

Abstract

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.

Suggested Citation

  • Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
    • Handle: RePEc:eee:riibaf:v:46:y:2018:i:c:p:141-148
    DOI: 10.1016/j.ribaf.2018.01.002
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    More about this item

    Keywords

    Crypto currency; BitCoin; Persistence; Long memory; R/S analysis; Fractional integration; C22; G12;
    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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