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Long memory interdependency and inefficiency in Bitcoin markets

Long memory interdependency and inefficiency in Bitcoin markets
Long memory interdependency and inefficiency in Bitcoin markets
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.
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Parhi, Mamata
5e489f1d-9fe0-44b3-8027-bfa3ec6bfbd4
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Parhi, Mamata
5e489f1d-9fe0-44b3-8027-bfa3ec6bfbd4
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e

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 iD orcid.org/0000-0003-2953-3815
ORCID for Tapas Mishra: ORCID iD orcid.org/0000-0002-6902-2326
ORCID for Zhuang Zhang: ORCID iD orcid.org/0000-0001-5369-3144

Catalogue record

Date deposited: 22 Feb 2018 17:30
Last modified: 03 Apr 2022 02:00

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Contributors

Author: Jeremy Cheah ORCID iD
Author: Tapas Mishra ORCID iD
Author: Mamata Parhi
Author: Zhuang Zhang ORCID iD

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