Persistence in the cryptocurrency market

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/15740

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DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Gil-Alana, L	-
dc.contributor.author	Plastun, A	-
dc.date.accessioned	2018-01-29T15:36:15Z	-
dc.date.available	2018-06-15	-
dc.date.available	2018-01-29T15:36:15Z	-
dc.date.issued	2017	-
dc.identifier.citation	Research in International Business and Finance, 2018	en_US
dc.identifier.issn	0275-5319	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/15740	-
dc.description.abstract	This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.	en_US
dc.language.iso	en	en_US
dc.title	Persistence in the cryptocurrency market	en_US
dc.type	Article	en_US
dc.identifier.doi	https://doi.org/10.1016/j.ribaf.2018.01.002	-
dc.relation.isPartOf	Research in International Business and Finance	-
pubs.publication-status	Accepted	-
Appears in Collections:	Dept of Economics and Finance Research Papers

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