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The Inefficiency of Litecoin: A Dynamic Analysis |
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| Authors: | Jana R K Tiwari Aviral Kumar Hammoudeh Shawkat |
| Institution: | 1.Indian Institute of Management Raipur, Raipur, Chhattisgarh, India ;2.Montpellier Business School, 2300 Avenue des Moulins, 3400, Montpellier, France ;3.Lebow College of Business, Drexel University, Philadelphia, USA ; |
| Abstract: | We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns. |
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