کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7374761 | 1480063 | 2018 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
As a form of cryptocurrency, the issue of informational efficiency of Bitcoin has received much attention recently. We add to the literature by investigating nine forms of cryptocurrencies, i.e., Bitcoin, Ripple, Ethereum, NEM, Stellar, Litecoin, Dash, Monero and Verge, with a battery of efficiency tests and the empirical results indicate that all these cryptocurrencies are inefficient markets. What is more, we further construct a value-weighted Cryptocurrency Composite Index (CCI) and show that CCI and Dow Jones Industrial Average are persistently cross-correlated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 510, 15 November 2018, Pages 658-670
Journal: Physica A: Statistical Mechanics and its Applications - Volume 510, 15 November 2018, Pages 658-670
نویسندگان
Wei Zhang, Pengfei Wang, Xiao Li, Dehua Shen,