Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets

By K. Al-Yahyaee, Walid Mensi, Seong‐Min Yoon. Finance Research Letters, 2018

254 citations recorded by the source corpus.

Abstract This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was therefore more inefficient than the gold, stock and currency markets.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/217895bb50976672fd9004ee9e3b22ce6f0e1e31

How researchers see this paper

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In Economics and Econometrics

1. David Gabauer
2. Ioannis Chatziantoniou
3. Nikolaos Antonakakis
4. George Filis
5. Stavros Degiannakis *
6. Rangan Gupta
7. O. Adekoya
8. J. Oliyide

In Information Systems

1. David Gabauer
2. Ioannis Chatziantoniou
3. Nikolaos Antonakakis

Citations in the corpus

• Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019, background): “, 2018, among many others); whereas on the other, authors suggest that the market is not quite so (see, for instance Al-Yahyaee et al., 2018; Kristoufek, 2018; Jiang et al., 2018). In the meantime, authors such as Urquhart (2016); Caporale et al. (2018), as well as, Sensoy (2018) emphasize that the ”