Persistence in the Cryptocurrency Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex

doi:10.2139/ssrn.3126040

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Persistence in the Cryptocurrency Market

CESifo Working Paper Series No. 6811

19 Pages Posted: 21 Feb 2018

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Alex Plastun

Sumy State University

There are 2 versions of this paper

Date Written: January 15, 2018

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.

Keywords: crypto currency, BitCoin, persistence, long memory, R/S analysis, fractional integration

JEL Classification: C220, G120

Suggested Citation: Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Plastun, Alex, Persistence in the Cryptocurrency Market (January 15, 2018). CESifo Working Paper Series No. 6811, Available at SSRN: https://ssrn.com/abstract=3126040 or http://dx.doi.org/10.2139/ssrn.3126040