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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CESifo Working Paper No. 6811
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper examines persistence in the cryptocurrency market. Two different long-memory 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.
Schlagwörter: 
crypto currency
BitCoin
persistence
long memory
R/S analysis
fractional integration
JEL: 
C22
G12
Dokumentart: 
Working Paper
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