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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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    Citations

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    Cited by:

    1. repec:eee:ecolet:v:164:y:2018:i:c:p:109-111 is not listed on IDEAS
    2. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    3. repec:eee:ecolet:v:159:y:2017:i:c:p:145-148 is not listed on IDEAS
    4. repec:eee:ecolet:v:163:y:2018:i:c:p:106-109 is not listed on IDEAS
    5. repec:eee:ecolet:v:166:y:2018:i:c:p:40-44 is not listed on IDEAS
    6. Gina Christelle Pieters, 2017. "Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls," 2017 Papers ppi307, Job Market Papers.
    7. repec:eee:ecolet:v:167:y:2018:i:c:p:26-28 is not listed on IDEAS
    8. repec:eee:ecolet:v:161:y:2017:i:c:p:1-4 is not listed on IDEAS
    9. Stavros Stavroyiannis, 2017. "Value-at-Risk and Expected Shortfall for the major digital currencies," Papers 1708.09343, arXiv.org.
    10. repec:spt:apfiba:v:7:y:2017:i:3:f:7_3_4 is not listed on IDEAS
    11. repec:eee:finana:v:55:y:2018:i:c:p:35-49 is not listed on IDEAS
    12. Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
    13. Mariusz Tarnopolski, 2017. "Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach," Papers 1707.03746, arXiv.org, revised Aug 2017.
    14. repec:eee:ecolet:v:165:y:2018:i:c:p:58-61 is not listed on IDEAS
    15. repec:eee:ecolet:v:158:y:2017:i:c:p:3-6 is not listed on IDEAS
    16. Zura Kakushadze & Ronald P. Russo Jr, 2018. "Blockchain: Data Malls, Coin Economies and Keyless Payments," Papers 1802.07422, arXiv.org, revised Apr 2018.
    17. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    18. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    19. repec:eee:ecolet:v:163:y:2018:i:c:p:6-9 is not listed on IDEAS

    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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