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  • 标题:Efficiency or speculation? A dynamic analysis of the Bitcoin market
  • 本地全文:下载
  • 作者:Refk Selmi ; Aviral Kumar Tiwari ; Shawkat Hammoudeh
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2018
  • 卷号:38
  • 期号:4
  • 页码:1-11
  • 出版社:Economics Bulletin
  • 摘要:Bitcoin has recently been labelled as a “dangerous speculative bubble” by Nobel Prize-winning economists Joseph Stiglitz and Robert Shiller, as the Bitcoin's market value now exceeds the GDP of over 130 countries. In this study, the multifractality and efficiency of the Bitcoin price index are tested, using a nonlinear data analysis technique called the multifractal detrended fluctuation analysis (MF-DFA). In addition, we assess the time-variations in the market efficiency level through using a rolling-window framework. Our evidence shows that the efficiency of the Bitcoin market changes over time and this market seems to be more efficient during downward than upward periods. We also find that Bitcoin is marked by a persistent long memory phenomenon in its short- term components, which could be interpreted as a possible speculation by investors.
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