Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

Khamis Hamed Al-Yahyaee, Walid Mensi, Seong Min Yoon*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

143 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)228-234
Number of pages7
JournalFinance Research Letters
Volume27
DOIs
Publication statusPublished - Dec 2018

Keywords

  • Bitcoin
  • Efficient market hypothesis
  • Hurst exponent
  • Long memory
  • MF-DFA

ASJC Scopus subject areas

  • Finance

Fingerprint

Dive into the research topics of 'Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets'. Together they form a unique fingerprint.

Cite this