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

46 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
JournalFinance Research Letters
DOIs
Publication statusAccepted/In press - Jan 1 2018

Keywords

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

ASJC Scopus subject areas

  • Finance

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