Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172825
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Plastun, Alex
Year of Publication: 
2017
Series/Report no.: 
DIW Discussion Papers 1703
Abstract: 
This paper examines persistence in the cryptocurrency market. Two different longmemory 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.
Subjects: 
crypto currency
BitCoin
persistence
long memory
R/S analysis
fractional integration
JEL: 
C22
G12
Document Type: 
Working Paper

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