Long memory interdependency and inefficiency in Bitcoin markets

Cheah, Jeremy, Mishra, Tapas, Parhi, Mamata and Zhang, Zhuang (2018) Long memory interdependency and inefficiency in Bitcoin markets. In British Accounting and Finance Association. (In Press)

Record type: Conference or Workshop Item (Paper)

Abstract

We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find (i) long-memory in both individual market and five-market systems depicting non-homogeneous informational inefficiency and (ii) a cointegration relationship with slow adjustment of shocks where uncertainty leaves a negative impact.

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Accepted/In Press date: 8 January 2018

Identifiers

Local EPrints ID: 418142

URI: http://eprints.soton.ac.uk/id/eprint/418142

PURE UUID: c8e58fab-2b3c-4cc4-a962-1f7e684e997c

ORCID for Jeremy Cheah:

orcid.org/0000-0003-2953-3815

ORCID for Tapas Mishra:

orcid.org/0000-0002-6902-2326

ORCID for Zhuang Zhang:

orcid.org/0000-0001-5369-3144

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Date deposited: 22 Feb 2018 17:30

Last modified: 16 Mar 2024 06:13

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Contributors

Author: Jeremy Cheah

Author: Tapas Mishra

Author: Mamata Parhi

Author: Zhuang Zhang

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