Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/238990
Authors: 
Kyriazis, Nikolaos A.
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Year:] 2019 [Issue:] 2 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well as other relevant methodologies of testing long memory in returns and volatility. It is found that the majority of academic papers provides evidence for inefficiency of Bitcoin and other digital currencies of primary importance. Nevertheless, large steps towards efficiency in cryptocurrencies have been traced during the last years. This can lead to less profitable trading strategies for speculators.
Subjects: 
survey
bitcoin
cryptocurrency
efficient market hypothesis
JEL: 
G11
G12
G15
E4
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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