Detalle Publicación

ARTÍCULO
Persistence in the cryptocurrency market
Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Plastun, A.
Título de la revista: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN: 0275-5319
Volumen: 46
Páginas: 141 - 148
Fecha de publicación: 2018
Lugar: WOS
Resumen:
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.