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The inefficiency of Bitcoin

Author

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  • Urquhart, Andrew

Abstract

Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence reveals that returns are significantly inefficient over our full sample, but when we split our sample into two subsample periods, we find that some tests indicate that Bitcoin is efficient in the latter period. Therefore we conclude that Bitcoin in an inefficient market but may be in the process of moving towards an efficient market.

Suggested Citation

  • Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
  • Handle: RePEc:eee:ecolet:v:148:y:2016:i:c:p:80-82
    DOI: 10.1016/j.econlet.2016.09.019
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Market efficiency; Cryptocurrency; Random walk;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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