Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5057862 | Economics Letters | 2017 | 4 Pages |
Abstract
â¢A follow up study of Urquhart (2016), investigating the market efficiency of Bitcoin.â¢Shows for the first time that a power transformation of Bitcoin returns can be weakly Efficient.â¢Gives a rationale for the power transformation used.
Urquhart (2016) investigated the market efficiency of Bitcoin by means of five different tests on Bitcoin returns. It was concluded that the Bitcoin returns do not satisfy the efficient market hypothesis. We show here that a simple power transformation of the Bitcoin returns do satisfy the hypothesis through the use of eight different tests. The transformation used does not lead to any loss of information.
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Authors
Saralees Nadarajah, Jeffrey Chu,