The inefficiency of Bitcoin revisited: a high-frequency analysis with alternative currencies

buir.contributor.author	Şensoy, Ahmet
dc.citation.epage	73	en_US
dc.citation.spage	68	en_US
dc.citation.volumeNumber	28	en_US
dc.contributor.author	Şensoy, Ahmet	en_US
dc.date.accessioned	2020-01-31T18:42:49Z
dc.date.available	2020-01-31T18:42:49Z
dc.date.issued	2019	en_US
dc.department	Department of Management	en_US
dc.description.abstract	We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.	en_US
dc.embargo.release	2021-03-01
dc.identifier.doi	10.1016/j.frl.2018.04.002	en_US
dc.identifier.issn	1544-6123
dc.identifier.uri	http://hdl.handle.net/11693/52969
dc.language.iso	English	en_US
dc.publisher	Elsevier	en_US
dc.relation.isversionof	https://dx.doi.org/10.1016/j.frl.2018.04.002	en_US
dc.source.title	Finance Research Letters	en_US
dc.subject	Efficient market hypothesis (EMH)	en_US
dc.subject	Bitcoin	en_US
dc.subject	Permutation entropy	en_US
dc.title	The inefficiency of Bitcoin revisited: a high-frequency analysis with alternative currencies	en_US
dc.type	Article	en_US

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