Journal article
Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory
International journal of finance and economics, v 27(3), pp 3730-3740
Jul 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
While gaining more popularity both as a financial asset and a commodity, a number of cryptocurrencies are emerging with a loosely regulated market microstructure which is a challenge to their efficiency. We have ranked 6 out of the top 10 cryptocurrencies based on their inefficiency ratios, using a novel time‐varying generalised Hurst exponent methodology. All the six crypto markets exhibit a time‐varying efficiency throughout the studied period, thus indicating a varying degree of exploitable profitable trading opportunities. The inefficiency ratio indicates that Bitcoin is the third most inefficient market, while the first and second most inefficient markets are DASH and NEM, respectively, thus they provide the most abnormal profit opportunities. However, the most efficient crypto markets are Ethereum and Ripple according to the order of their rankings. Further research could be performed on the factors affecting the inefficiency index to understand the efficiency determination of these cryptocurrency markets.
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Details
- Title
- Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory
- Creators
- Sangram Keshari Jena - International Management InstituteAviral Kumar Tiwari - RajagiriBuhari Doğan - Süleyman Demirel UniversityShawkat Hammoudeh - Drexel University
- Publication Details
- International journal of finance and economics, v 27(3), pp 3730-3740
- Publisher
- John Wiley & Sons, Ltd
- Number of pages
- 11
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000596162100001
- Scopus ID
- 2-s2.0-85097251388
- Other Identifier
- 991019167955804721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance