Abstract/Description
Cryptocurrency market has attracted interest of both researchers and investors. It is a comparatively newer mode of transactions; therefore, both the agents are interested in the movement of these currencies in terms of volatility and profit. This research makes an effort to examine these phenomena with the help of long-range memory in the Bitcoin market using Generalized Hurst exponent methodology. For this purpose, the daily dataset spanning from 26th August 2010 to 19th April 2018 is collected, prepared and analyzed. Findings reveal interesting facts that the Hurst exponents for almost every year are above 0.5, and the long-range dependence is present in the Bitcoin market. This shows that the Bitcoin market exhibits strong persistence level hence the market is inefficient and investors should not enter the market speculatively due to its high risk. Our findings have implications for policy-makers and investors for making prudent decisions while investing in emerging markets like Bitcoin. Moreover, the researchers are also provided with an insight of Bitcoin market, and directions for future research.
Track
Accounting, Law, and Finance
Session Number/Theme
Session 3B: Accounting, Finance & Law
Session Chair
Dr. Sana Tauseef, Institute of Business Administration, Karachi
Session Discussant
Sohaib Ahmed; Zaira Anees; Dr. Fawad Ahmad; Dr. Tasawar Nawaz
Start Date/Time
24-6-2022 2:00 PM
End Date/Time
24-6-2022 2:20 PM
Location
Training Room 3, Marriott Hotel, Karachi
Recommended Citation
Hameed, Z., & Wazir, S. (2022). Market efficiency of cryptocurrency: long term memory effect in bitcoin trading. 3rd IBA SBS International Conference 2024. Retrieved from https://ir.iba.edu.pk/sbsic/2022/program/40
Market efficiency of cryptocurrency: long term memory effect in bitcoin trading
Training Room 3, Marriott Hotel, Karachi
Cryptocurrency market has attracted interest of both researchers and investors. It is a comparatively newer mode of transactions; therefore, both the agents are interested in the movement of these currencies in terms of volatility and profit. This research makes an effort to examine these phenomena with the help of long-range memory in the Bitcoin market using Generalized Hurst exponent methodology. For this purpose, the daily dataset spanning from 26th August 2010 to 19th April 2018 is collected, prepared and analyzed. Findings reveal interesting facts that the Hurst exponents for almost every year are above 0.5, and the long-range dependence is present in the Bitcoin market. This shows that the Bitcoin market exhibits strong persistence level hence the market is inefficient and investors should not enter the market speculatively due to its high risk. Our findings have implications for policy-makers and investors for making prudent decisions while investing in emerging markets like Bitcoin. Moreover, the researchers are also provided with an insight of Bitcoin market, and directions for future research.
