Persistence in the cryptocurrency market

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate tha...

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Bibliographic Details
Published in:Research in international business and finance 2018-12, Vol.46, p.141-148
Main Authors: Caporale, Guglielmo Maria, Gil-Alana, Luis, Plastun, Alex
Format: Article
Language:English
Subjects:
BitCoin
C22
Crypto currency
Fractional integration
G12
Long memory
Persistence
R/S analysis
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Summary:This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.
ISSN:0275-5319
1878-3384
DOI:10.1016/j.ribaf.2018.01.002