| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7374761 | Physica A: Statistical Mechanics and its Applications | 2018 | 29 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Wei Zhang, Pengfei Wang, Xiao Li, Dehua Shen,