References
- Aggarwal, D. (2019). Do Bitcoins follow a random walk model? Research in Economics, 73, 15–22.
https://doi.org/10.1016/j.rie.2019.01.002 - Alvarez-Ramirez, J., Rodriguez, E., & Ibarra-Valdez, C. (2018). Long-range correlations and asymmetry in the Bitcoin market. Physica A: Statistical Mechanics and Its Applications, 492, 948–955.
https://doi.org/10.1016/j.physa.2017.11.025 - Al-Yahyaee, K. H., Mensi, W., & Yoon, S. (2018). Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets. Finance Research Letters, 27, 228–234.
https://doi.org/10.1016/j.frl.2018.03.017 - Aslan, A., & Sensoy, A. (2020). Intraday efficiency-frequency nexus in the cryptocurrency markets. Finance Research Letters, 35(C).
https://doi.org/10.1016/j.frl.2019.09.013 - Assaf, A., Bhandari, A., Charif, H., & Demir, E. (2022). Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19. International Review of Financial Analysis, 82(C).
https://doi.org/10.1016/j.irfa.2022.102132 - Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1–4.
https://doi.org/10.1016/j.econlet.2017.09.013 - Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications, 484(C), 82–90.
https://doi.org/10.1016/j.physa.2017.04.159 - Baur, D., & McDermott, T. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898.
https://doi.org/10.1016/j.jbankfin.2009.12.008 - Borowski, K., & Matusewicz, M. (2019). The day-of-the-week effect on the example of 82 cryptocurrencies. Przedsiębiorstwo i Finanse, 3(26), 31–50. Retrieved from
http://cejsh.icm.edu.pl/cejsh/element/bwmeta1.element.ojs-issn-2084-1361-year-2019-issue-3-article-df281222-63ea-385f-a265-72dc5dc83783 - Borowski, K., & Matusewicz, M. (2020). Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets. Finanse I Prawo Finansowe, 3(27), 25–61.
https://doi.org/10.18778/2391-6478.3.27.02 - Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20(C), 192–198.
https://doi.org/10.1016/j.frl.2016.09.025 - Bouri, E., Gil-Alana, L. A., Gupta, R., & Roubaud, D. (2019). Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks. International Journal of Finance & Economics, 24, 412–26.
https://doi.org/10.1002/ijfe.1670 - Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156–164.
https://doi.org/10.1016/j.qref.2020.03.004 - Brauneis, A., & Mestel, R. (2018). Price discovery of cryptocurrencies: Bitcoin and beyond. Economics Letters, 165, 58–61.
https://doi.org/10.1016/j.econlet.2018.02.001 - Cajueiro, D., & Tabak, B. (2004). The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient. Physica A: Statistical Mechanics and its Applications, 336(3), 521–537.
https://doi.org/10.1016/j.physa.2003.12.031 - Caporale, G. M., Gil-Alana, L., & Plastun, A. (2018). Persistence in the cryptocurrency market. Research in International Business and Finance, 46(C), 141–148.
https://doi.org/10.1016/j.ribaf.2018.01.002 - Carrick, J. (2016). Bitcoin as a Complement to Emerging Market Currencies. Emerging Markets Finance and Trade, 52(10), 2321–2334.
https://doi.org/10.1080/1540496X.2016.1193002 - Chowdhury, M. A. F., Abdullah, M., Alam, M., Abedin, M. Z., & Shi, B. (2023). NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis. International Review of Financial Analysis, 87(C).
https://doi.org/10.1016/j.irfa.2023.102642 - Czarnecki, Ł., Grech, D., & Pamuła, G. (2008). Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market. Physica A-statistical Mechanics and Its Applications, 387, 6801–6811.
https://doi.org/10.1016/j.physa.2008.08.019 - Czekaj, J., Woś, M., & Żarnowski, J. (2001). Efektywność giełdowego rynku akcji w Polsce. Z perspektywy dziesięciolecia. Warszawa: Wydawnictwo Naukowe PWN
- Diniz-Maganini, N., Diniz, E. H., & Rasheed, A. A. (2021). Bitcoin's price efficiency and safe haven properties during the COVID-19 pandemic: A comparison. Research in International Business and Finance, 58, 101472.
https://doi.org/10.1016/j.ribaf.2021.101472 - Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.
https://doi.org/10.2307/2325486 - Fernandes, L. H. S., Bouri, E., Silva, J. W.L., Bejan L., & de Araujo, F. H. A. (2022). The resilience of cryptocurrency market efficiency to COVID-19 shock. Physica A: Statistical Mechanics and its Applications, 607.
https://doi.org/10.1016/j.physa.2022.128218 - Hileman, G., & Rauchs, M. (2017). Global cryptocurrency benchmarking study. Cambridge Centre for Alternative Finance. Retrieved from
https://www.jbs.cam.ac.uk/wp-content/uploads/2020/08/2017-04-20-global-cryptocurrency-benchmarking-study.pdf - Hkiri, B., Bejaoui, A., Gharib, C., & Al Nemer H. A. (2021). Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach. Heliyon, 7(9).
https://doi.org/10.1016/j.heliyon.2021.e08028 - Hull, M., & McGroarty, F. (2014). Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. Emerging Markets Review, 18(C), 45–61.
https://doi.org/10.1016/j.ememar.2013.11.001 - Jiang, Y., Nie, H., & Ruan, W. (2018). Time-Varying Long-Term Memory in Bitcoin Market. Finance Research Letters, 25, 280–284.
https://doi.org/10.1016/j.frl.2017.12.009 - Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291.
https://doi.org/10.2307/1914185 - Khuntia, S., & Pattanayak, J. (2018). Adaptive market hypothesis and evolving predictability of Bitcoin. Economics Letters, 167, 26–28.
https://doi.org/10.1016/j.econlet.2018.03.005 - Khuntia, S., & Pattanayak, J. (2020). Adaptive Long Memory in Volatility of Intra-day Bitcoin Returns and the Impact of Trading Volume. Finance Research Letters, 32, 101077.
https://doi.org/10.1016/j.frl.2018.12.025 - Kosc, K., Sakowski, P., & Ślepaczuk, R. (2019). Momentum and contrarian effects on the cryptocurrency market. Physica A: Statistical Mechanics and its Applications, 523, 691–701.
https://doi.org/10.1016/j.physa.2019.02.057 - Kristoufek, L. (2010). Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals. Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, 4(3), 315–329. Retrieved from
https://www.researchgate.net/profile/LadislavKristoufek/publication/227360892_Rescaled_Range_Analysis_and_Detrended_Fluctuation_Analysis_Finite_Sample_Properties_and_Confidence_Intervals/links/0fcfd50ddb6e3bdcf5000000/Rescaled-Range-Analysis-and-Detrended-Fluctuation-Analysis-Finite-Sample-Properties-and-Confidence-Intervals.pdf - Kristoufek, L. (2018). On the Bitcoin market inefficiency and its Evolution. Physica A: Statistical Mechanics and its Applications, 503, 257–262.
https://doi.org/10.1016/j.physa.2018.02.161 - Kumar, D., & Zargar, F. N. (2019). Informational inefficiency of Bitcoin: A study based on high-frequency data. Research in International Business and Finance, 47, 344–353.
https://doi.org/10.1016/j.ribaf.2018.08.008 - Köchling, G., Müller, J., & Posch, P. N. (2019). Price delay and market frictions in cryptocurrency markets. Economics Letters, 174(C), 39–41.
https://doi.org/10.1016/j.econlet.2018.10.025 - Lim, K. P., Brooks, R. D., & Kim, J. H. (2008). Financial crisis and stock market efficiency: Empirical evidence from Asian countries. International Review of Financial Analysis, 17(3), 571–591.
https://doi.org/10.1016/j.irfa.2007.03.001 - Lo, A. W. (2004). The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. The Journal of Portfolio Management, 30(5), 15–29. Retrieved from
https://www.researchgate.net/publication/228183756_The_Adaptive_Markets_Hypothesis_Market_Efficiency_from_an_Evolutionary_Perspective - Mensi, W., Sensoy, A., Vo, X. V., & Kang, S. H. (2022). Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis. The North American Journal of Economics and Finance, 62(C).
https://doi.org/10.1016/j.najef.2022.101773 - Mizerka, J., Stróżyńska-Szajek, A., & Mizerka, P. (2020). The role of Bitcoin on developed and emerging markets—on the basis of a Bitcoin users graph analysis. Finance Research Letters, 35.
https://doi.org/10.1016/j.frl.2020.101489 - Mnif, E., Mouakhar, K., & Jarboui, A. (2023). Energy-conserving cryptocurrency response during the COVID-19 pandemic and amid the Russia–Ukraine conflict. Journal of Risk Finance, 24(2), 169–185.
https://doi.org/10.1108/JRF-06-2022-0161 - Noda, A. (2021). On the evolution of cryptocurrency market efficiency. Applied Economics Letters, 28(6), 433–439.
https://doi.org/10.1080/13504851.2020.1758617 - Phiri, A. (2022). Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin? Eurasian Economic Review. Eurasia Business and Economics Society, 12(3), 373–386.
https://doi.org/10.1007/s40822-022-00214-8 - Plastun, A., Kozmenko, S., Plastun V., & Filatova, H. (2019). Market anomalies and data persistence: The case of the day-of-the-week effect. Journal of International Studies, 12(3), 122–130.
https://doi.org/10.14254/2071-8330.2019/12-3/10 - Polanco-Martínez, J. M. (2019). Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods. Nonlinear Dynamics, 97, 369–389.
https://doi.org/10.1007/s11071-019-04974-y - Polasik, M., Piotrowska, A. I., Wisniewski, T. P., Kotkowski, R., & Lightfoot, G. (2015). Price Fluctuations and the Use of Bitcoin: An Empirical Inquiry. International Journal of Electronic Commerce, 20(1), 9–49.
https://doi.org/10.1080/10864415.2016.1061413 - Rufino, C. C. (2023). On the Volatility and Market Inefficiency of Bitcoin During the COVID-19 Pandemic. DLSU Business & Economics Review, 32(2), 23–32. Retrieved from
https://www.dlsu.edu.ph/wp-content/uploads/2023/04/2rufino-040323.pdf - Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, 63, 322–330.
https://doi.org/10.1016/j.irfa.2019.01.002 - Statista. (2022, January 12). Bitcoin mining by country. Retrieved from
https://www.statista.com/statistics/1200477/bitcoin-mining-by-country/ - Sukpitak, J., & Hengpunya, V. (2016). Efficiency of Thai stock markets: Detrended fluctuation analysis. Physica A: Statistical Mechanics and its Applications, 458(C), 204–209.
https://doi.org/10.1016/j.physa.2016.03.076 - Takaishi, T., & Adachi, T. (2020). Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study. Asia-Pacific Financial Markets, 27, 145–154.
https://doi.org/10.1007/s10690-019-09286-0 - Tovanich, N., Soulié, N., & Isenberg, P. (2021, April). Visual analytics of bitcoin mining pool evolution: on the road toward stability? 3rd International Workshop on Blockchains and Smart Contracts held in conjunction with the 11th IFIP International Conference on New Technologies, Mobility and Security, France, Paris, 1–5.
https://doi.org/10.1109/NTMS49979.2021.9432675 - Tran, V. L., & Leirvik, T. (2020). Efficiency in the markets of crypto-currencies. Finance Research Letters, 35.
https://doi.org/10.1016/j.frl.2019.101382 - Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80–82.
https://doi.org/10.1016/j.econlet.2016.09.019 - Wang, J., & Wang, X. (2021). COVID-19 and financial market efficiency: Evidence from an entropy-based analysis. Finance Research Letters, 42(C).
https://doi.org/10.1016/j.frl.2020.101888 - Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21–24.
https://doi.org/10.1016/j.econlet.2018.04.003
Language: English
Page range: 219 - 236
Published on: Sep 4, 2023
Published by: Faculty of Economic Sciences, University of Warsaw
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Related subjects:
© 2023 Mateusz Skwarek, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution 4.0 License.