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Informational efficiency of Bitcoin—An extension

Author

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  • Tiwari, Aviral Kumar
  • Jana, R.K.
  • Das, Debojyoti
  • Roubaud, David

Abstract

We revisit the issue of informational efficiency of Bitcoin using a battery of computationally efficient long-range dependence estimators for a period spanning over July 18, 2010 to June 16, 2017. We report that the market is informational efficient as consistent to recent findings of Urquhart (2016), Nadarajah and Chu (2017) and Bariviera (2017).

Suggested Citation

  • Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018. "Informational efficiency of Bitcoin—An extension," Economics Letters, Elsevier, vol. 163(C), pages 106-109.
  • Handle: RePEc:eee:ecolet:v:163:y:2018:i:c:p:106-109
    DOI: 10.1016/j.econlet.2017.12.006
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    References listed on IDEAS

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    1. repec:eee:ecolet:v:159:y:2017:i:c:p:145-148 is not listed on IDEAS
    2. Selgin, George, 2015. "Synthetic commodity money," Journal of Financial Stability, Elsevier, vol. 17(C), pages 92-99.
    3. Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
    4. Kristoufek, Ladislav & Vosvrda, Miloslav, 2013. "Measuring capital market efficiency: Global and local correlations structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 184-193.
    5. Bashan, Amir & Bartsch, Ronny & Kantelhardt, Jan W. & Havlin, Shlomo, 2008. "Comparison of detrending methods for fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5080-5090.
    6. repec:eee:ecolet:v:158:y:2017:i:c:p:3-6 is not listed on IDEAS
    7. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
    8. Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
    9. Amir Bashan & Ronny Bartsch & Jan W. Kantelhardt & Shlomo Havlin, 2008. "Comparison of detrending methods for fluctuation analysis," Papers 0804.4081, arXiv.org.
    10. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    11. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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