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

Research output: Contribution to journalArticle

35 Citations (Scopus)


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
JournalFinance Research Letters
Publication statusAccepted/In press - Jan 1 2018



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

ASJC Scopus subject areas

  • Finance

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