Do bitcoins follow a random walk model? |
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Institution: | 1. EGADE Business School, Tecnológico de Monterrey, Ave. Rufino Tamayo, San Pedro Garza García, NL C.P. 66269, México;2. Department of Economics, University of Texas at Austin, 2225 Speedway, Austin, TX 78712, United States |
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Abstract: | Bitcoins have become a fad among investors despite of the ambiguity surrounding on its nature and characteristics. This study aims to contribute to the existing literature of examining bitcoin returns under a financial asset purview. Through multiple robust tests, the market efficiency of daily bitcoin returns is analyzed for the time frame of July 2010 till March 2018. Strong evidence of market inefficiency characterized by absence of random walk model is found. The market inefficiency was found attributable to the presence of asymmetric volatility clustering. More studies are needed to examine the temporal dynamics of bitcoin returns. |
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