All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Refk Selmi, Aviral Kumar Tiwari and Shawkat Hammoudeh
''Efficiency or speculation? A dynamic analysis of the Bitcoin market''
( 2018, Vol. 38 No.4 )
Bitcoin has recently been labelled as a “dangerous speculative bubble” by Nobel Prize-winning economists Joseph Stiglitz and Robert Shiller, as the Bitcoin's market value now exceeds the GDP of over 130 countries. In this study, the multifractality and efficiency of the Bitcoin price index are tested, using a nonlinear data analysis technique called the multifractal detrended fluctuation analysis (MF-DFA). In addition, we assess the time-variations in the market efficiency level through using a rolling-window framework. Our evidence shows that the efficiency of the Bitcoin market changes over time and this market seems to be more efficient during downward than upward periods. We also find that Bitcoin is marked by a persistent long memory phenomenon in its short- term components, which could be interpreted as a possible speculation by investors.
Keywords: Bitcoin, efficiency, speculation, multifractal detrended fluctuation analysis.
JEL: F3 - International Finance: General
Manuscript Received : May 05 2018 Manuscript Accepted : Oct 30 2018

  This abstract has been downloaded 1037 times                The Full PDF of this paper has been downloaded 153793 times