Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

被引：21
|
作者：
Takaishi, Tetsuya [1 ]
Adachi, Takanori [2 ]
机构：
[1] Hiroshima Univ Econ, Hiroshima 7310192, Japan
[2] Tokyo Metropolitan Univ, Tokyo 1000005, Japan
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2020年 / 27卷 / 01期
基金：
日本学术振兴会;
关键词：
Market efficiency; Bitcoin; Cryptocurrency; Hurst exponent; Liquidity; Multifractality; DOLLAR; GOLD;
D O I：
10.1007/s10690-019-09286-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.
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页码：145 / 154
页数：10
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