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Price discovery of cryptocurrencies: Bitcoin and beyond

Author

Listed:
  • Brauneis, Alexander
  • Mestel, Roland

Abstract

Academic research on cryptocurrencies is almost exclusively directed towards Bitcoin. We extend existing literature by performing various tests on efficiency of several cryptocurrencies and additionally link efficiency to measures of liquidity. Cryptocurrencies become less predictable / inefficient as liquidity increases.

Suggested Citation

  • Brauneis, Alexander & Mestel, Roland, 2018. "Price discovery of cryptocurrencies: Bitcoin and beyond," Economics Letters, Elsevier, vol. 165(C), pages 58-61.
  • Handle: RePEc:eee:ecolet:v:165:y:2018:i:c:p:58-61
    DOI: 10.1016/j.econlet.2018.02.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrencies; (in-)efficiency; Price discovery; Liquidity;

    JEL classification:

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

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