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Do bitcoins follow a random walk model?

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  • Aggarwal, Divya

Abstract

Bitcoins have become a fad among investors despite of the ambiguity surrounding on its nature and characteristics. This study aims to contribute to the existing literature of examining bitcoin returns under a financial asset purview. Through multiple robust tests, the market efficiency of daily bitcoin returns is analyzed for the time frame of July 2010 till March 2018. Strong evidence of market inefficiency characterized by absence of random walk model is found. The market inefficiency was found attributable to the presence of asymmetric volatility clustering. More studies are needed to examine the temporal dynamics of bitcoin returns.

Suggested Citation

  • Aggarwal, Divya, 2019. "Do bitcoins follow a random walk model?," Research in Economics, Elsevier, vol. 73(1), pages 15-22.
    • Handle: RePEc:eee:reecon:v:73:y:2019:i:1:p:15-22
    DOI: 10.1016/j.rie.2019.01.002
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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Random walk model; Auto regressive conditional heteroscedasticity; Volatility; Asymmetric;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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