Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257649 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 3 [Article No.:] 51 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
In recent years, increasing attention has been devoted to cryptocurrencies, owing to their great development and valorization. In this study, we propose to analyse four of the major cryptocurrencies, based on their market capitalization and data availability: Bitcoin, Ethereum, Ripple, and Litecoin. We apply detrended fluctuation analysis (the regular one and with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We find that Bitcoin and Ripple seem to behave as efficient financial assets, while Ethereum and Litecoin present some evidence of persistence. When correlating Bitcoin with the other cryptocurrencies under analysis, we find that for short time scales, all the cryptocurrencies have statistically significant correlations with Bitcoin, although Ripple has the highest correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation.
Subjects: 
cryptocurrencies
detrended cross-correlation analysis
detrended fluctuation analysis
efficiency
JEL: 
C10
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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