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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 long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship.
0165-1765
18-25
Cheah, Eng-Tuck
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, Eng-Tuck
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, Eng-Tuck, Mishra, Tapas, Parhi, Mamata and Zhang, Zhuang (2018) Long memory interdependency and inefficiency in Bitcoin markets. Economics Letters, 167, 18-25. (doi:10.1016/j.econlet.2018.02.010).

Record type: Article

Abstract

We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship.

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EL43630R1 - Accepted Manuscript
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Accepted/In Press date: 6 February 2018
e-pub ahead of print date: 17 February 2018
Published date: June 2018

Identifiers

Local EPrints ID: 418306
URI: http://eprints.soton.ac.uk/id/eprint/418306
DOI: doi:10.1016/j.econlet.2018.02.010
ISSN: 0165-1765
PURE UUID: 556dbfd5-5b4a-4859-b58b-fb639c6012d9
ORCID for Eng-Tuck 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: 27 Feb 2018 17:31
Last modified: 16 Mar 2024 06:12

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Contributors

Author: Eng-Tuck Cheah ORCID iD
Author: Tapas Mishra ORCID iD
Author: Mamata Parhi
Author: Zhuang Zhang ORCID iD

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