Cryptocurrency Market Efficiency: Evidence from Wavelet Analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F20%3A43918192" target="_blank" >RIV/62156489:43110/20:43918192 - isvavai.cz</a>
Result on the web
<a href="https://journal.fsv.cuni.cz/mag/article/show/id/1457" target="_blank" >https://journal.fsv.cuni.cz/mag/article/show/id/1457</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Cryptocurrency Market Efficiency: Evidence from Wavelet Analysis
Original language description
We examine daily USD returns for Bitcoin, Ethereum and Litecoin between October 2013 and September 2019 at six separate exchanges employing wavelet methodology. This approach, as compared to the standard time domain analysis, is superior because it tests the existence of cyclical persistencies at different investment horizons. We identify significant but temporal cyclical movements and coherence between the markets at high frequencies which is broadly consistent with market inefficiency given liquidity constraints of cryptocurrencies. Moreover, we identify temporal arbitrage opportunities between the selected exchanges.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment and its impact on stock markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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