Intraday efficiency-frequency nexus in the cryptocurrency markets

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buir.contributor.authorAslan, Aylin
buir.contributor.authorŞensoy, Ahmet
dc.citation.spage101298en_US
dc.citation.volumeNumber35en_US
dc.contributor.authorAslan, Aylinen_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.date.accessioned2020-02-04T05:35:33Z
dc.date.available2020-02-04T05:35:33Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractThis study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies on the predictability of cryptocurrency returns for alternative high frequency intervals. Accordingly, efficiency demonstrates a U-shaped pattern with respect to alternative sampling frequencies, hence there exists an optimal intraday sampling frequency that maximizes the market efficiency. These findings have important implications for portfolio analysis, risk management, regulations and administrative rulings in the cryptocurrency markets.en_US
dc.description.provenanceSubmitted by Onur Emek (onur.emek@bilkent.edu.tr) on 2020-02-04T05:35:33Z No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5)en
dc.description.provenanceMade available in DSpace on 2020-02-04T05:35:33Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5) Previous issue date: 2019en
dc.embargo.release2022-07-01
dc.identifier.doi10.1016/j.frl.2019.09.013en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/53017
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.frl.2019.09.013en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectEfficient Market Hypothesis (EMH)en_US
dc.subjectCryptocurrenciesen_US
dc.subjectHurst exponenten_US
dc.subjectAlgorithmic tradingen_US
dc.subjectHigh-frequency tradingen_US
dc.titleIntraday efficiency-frequency nexus in the cryptocurrency marketsen_US
dc.typeArticleen_US

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