Does Bitcoin follow the hypothesis of efficient market
Jakub Bartos
- Vol. 4, Iss: 2, pp 10-23
TLDR
In this article, the authors introduced the main features of Bitcoin and analyzed its price behavior and found out that price of the most famous cryptocurrency Bitcoin follows the hypothesis of efficient markets and it immediately react on publicly announce information.Abstract:
Bitcoin has emerged as phenomenon of the financial markets as the currency without any central authority. Recent events of Bitcoin has risen question about its behavior and there is crucial question if the price of Bitcoin follows hypothesis of efficient markets. In this paper, there are introduced the main features of Bitcoin and analyzed its price behavior. We found out that price of the most famous cryptocurrency Bitcoin follows the hypothesis of efficient markets and it immediately react on publicly announce information. Furthermore, Bitcoin can be seen as standard economic good that is priced by interaction of supply and demand on the market. These factors can be driven by macro financial development or by speculative investors, but there weren?t found any significant impact of these factors on price of Bitcoin.read more
Citations
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Is Bitcoin a Real Currency? An Economic Appraisal
TL;DR: The Bitcoin price of consumer goods requires many decimal places with leading zeros, which is disconcerting to retail market participants as mentioned in this paper, and Bitcoin appears to behave more like a speculative investment than a currency.
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Persistence in the cryptocurrency market
TL;DR: In this article, two different long-memory methods (R/S analysis and fractional integration) are used to analyse the persistence of the cryptocurrency market and its degree changes over time.
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Long-range correlations and asymmetry in the Bitcoin market
TL;DR: In this article, the detrended fluctuation analysis (DFA) was implemented over sliding windows to estimate long-range correlations for price returns, and it was found that the Bitcoin market exhibits periods of efficiency alternating with periods where the price dynamics are driven by anti-persistence.
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Cryptocurrencies and stock market indices. are they related
TL;DR: In this article, the authors investigate the stochastic properties of six major cryptocurrencies and their bilateral linkages with six stock market indices using fractional integration techniques and provide evidence of no cointegration between the six cryptocurrencies.
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Can cryptocurrencies be a safe haven: a tail risk perspective analysis
TL;DR: Cryptocurrencies are one of the most promising financial innovations of the last decade as mentioned in this paper, and they exhibit different characteristics from major stock indices and the commodities of gold and crude oil.
References
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Stock returns and the weekend effect
TL;DR: In this paper, the authors examined two alternative models of the process generating stock returns: calendar time hypothesis and trading time hypothesis, and found that returns are generated only during active trading and the expected return is the same for each day of the week.
Journal ArticleDOI
The emerging role of electronic marketplaces on the Internet
TL;DR: The role of information technology in markets, both in traditional markets, and in the emergence of electronic marketplaces, such as the multitude of Internet-based online auctions, has seen a dramatic increase.
Book
Principles of Econometrics
TL;DR: The fourth edition has been thoroughly updated to reflect the current state of economic and financial markets and will help finance professionals apply basic econometric tools to modeling, estimation, inference, and forecasting through real world problems.
Journal ArticleDOI
The economics of BitCoin price formation
TL;DR: In this paper, the authors studied BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies specific factors such as BitCoin attractiveness for investors and users.