Semi-strong efficiency of Bitcoin

Vidal-Tomás, David; Ibáñez, Ana M.

doi:10.1016/j.frl.2018.03.013

Cited by 222 publications

(89 citation statements)

References 19 publications

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“…Market efficiency is another active area of research. Some conclude that, although not efficient at first, the bitcoin market is now highly efficient (Bariviera, ; Sensoy, ; Tiwari, Jana, Das, & Roubaud, ; Urquhart, ; Vidal‐Tomás & Ibañez, ). However, this conclusion is not unanimous as the methods, data source, and observation periods vary considerably.…”

Section: Introductionmentioning

confidence: 99%

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Alexander

Choi

Park

et al. 2019

Journal of Futures Markets

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BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid–ask spreads, interexchange spreads, and relative trading volumes are important determinants of price discovery. Further analysis shows that BitMEX derivatives have positive net spillover effects, are informationally more efficient than bitcoin spot prices, and serve as effective hedges against spot price volatility. Our evidence suggests that regulators prioritize the investigation of the legitimacy of BitMEX and its contracts.

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Section: Introductionmentioning

confidence: 99%

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Alexander

Choi

Park

et al. 2019

Journal of Futures Markets

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“…This finding is further echoed by the work of Tiwari et al [2018] who investigated the informational efficiency of Bitcoin using a battery of computationally efficient long-range dependence estimators and also found that the market is informational efficient. Yet, Vidal-Tomás and Ibañez [2018] examined the semi-strong efficiency of Bitcoin in the Bitstamp and Mt.Gox and found Bitcoin to be unaffected by monetary policy news, highlighting the absence of any kind of control on Bitcoin.…”

Section: Previous Literaturementioning

confidence: 99%

Asymmetric mean reversion of Bitcoin price returns

Corbet

Katsiampa

2020

International Review of Financial Analysis

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Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhibit similar asymmetric reverting patterns for minutely, hourly, daily and weekly returns between June 2010 and February 2018. We identify several differences in the behaviour of Bitcoin price returns in the pre-and post-$1,000 sub-periods and evidence of asymmetric reverting patterns in the Bitcoin price returns under all the ANAR models employed, regardless of the data frequency considered. We also present evidence indicating stronger reverting behaviour of negative price returns in terms of both reverting speed and magnitude compared to positive returns and evidence of positive serial correlation with prior positive price returns. Finally, we also investigated asymmetries in Bitcoin price return series' persistence by employing higher order ANAR models, finding evidence of a higher persistence of positive returns than negative returns, a result that further supports the existence of asymmetric reverting behaviour in the Bitcoin price returns.

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“…The earliest studies in this nascent field suggested the presence of inefficiency (Urquhart, 2016) and predictable patterns (Phillip et al , 2018) in cryptocurrency markets. More recently, market maturation has led to greater efficiency (Vidal‐Tomas & Ibanez, 2018; Grobys & Sapkota, 2019) that is at least partly driven by liquidity (Wei, 2018; Kochling et al , 2019) and size (Brauneis & Mestel, 2018). The literature has also offered evidence that cryptocurrency returns are uncorrelated with traditional asset classes (Baur et al , 2018; Corbet et al , 2018) and potentially offer attractive diversification benefits (e.g.…”

Section: Introductionmentioning

confidence: 99%

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Smales

2020

J of App Econs and Policy

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We utilise principal component analysis to determine whether a (small) set of factors can explain cryptocurrency returns and whether this varies over time. We find that a substantial proportion of cryptocurrency return variation is explained by a single principal component that is highly correlated with bitcoin returns. The explanatory power of this factor is greatest for larger cryptocurrencies and increases markedly in the most recent part of the sample. Our results have implications for investors determining optimal portfolio decisions and for policy-makers wary of systemic risk.

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Semi-strong efficiency of Bitcoin

Cited by 222 publications

References 19 publications

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness

Asymmetric mean reversion of Bitcoin price returns

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

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