TY - JOUR
T1 - Efficiency, multifractality, and the long-memory property of the Bitcoin market
T2 - A comparative analysis with stock, currency, and gold markets
AU - Al-Yahyaee, Khamis Hamed
AU - Mensi, Walid
AU - Yoon, Seong Min
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
PY - 2018/12
Y1 - 2018/12
N2 - This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.
AB - This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.
KW - Bitcoin
KW - Efficient market hypothesis
KW - Hurst exponent
KW - Long memory
KW - MF-DFA
UR - http://www.scopus.com/inward/record.url?scp=85044602316&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85044602316&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2018.03.017
DO - 10.1016/j.frl.2018.03.017
M3 - Article
AN - SCOPUS:85044602316
SN - 1544-6123
VL - 27
SP - 228
EP - 234
JO - Finance Research Letters
JF - Finance Research Letters
ER -