کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7352195 1476979 2018 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-varying long-term memory in Bitcoin market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Time-varying long-term memory in Bitcoin market
چکیده انگلیسی
This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index (Sensoy and Hacihasanoglu, 2014). The daily dataset for the period from 2010 to 2017 is utilized, and some interesting findings emerge that: (i) all of the generalized Hurst exponents in the Bitcoin market are above 0.5; (ii) long-term memory exists in the Bitcoin market; (iii) high degree of inefficiency ratio; (iv) the Bitcoin market does not become more efficient over time; and (v) rolling window approach can help to obtain more reliable results. Some implications for investors and policymakers are concluded.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 25, June 2018, Pages 280-284
نویسندگان
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