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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, L | - |
dc.contributor.author | Plastun, A | - |
dc.date.accessioned | 2018-01-29T15:36:15Z | - |
dc.date.available | 2018-06-15 | - |
dc.date.available | 2018-01-29T15:36:15Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Research in International Business and Finance, 2018 | en_US |
dc.identifier.issn | 0275-5319 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/15740 | - |
dc.description.abstract | This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market. | en_US |
dc.language.iso | en | en_US |
dc.title | Persistence in the cryptocurrency market | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.ribaf.2018.01.002 | - |
dc.relation.isPartOf | Research in International Business and Finance | - |
pubs.publication-status | Accepted | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | 730 kB | Adobe PDF | View/Open |
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