All the frequencies matter in the Bitcoin market: an efficiency analysis

Most studies in the Bitcoin literature are focused on daily data without considering other options. Therefore, it is necessary to analyse Bitcoin features at different frequencies. In this letter, we examine Bitcoin efficiency from 1 min to weekly data using the generalized Hurst exponent. Our resul...

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Bibliographic Details
Published inApplied economics letters Vol. 29; no. 3; pp. 212 - 218
Main Author Vidal-Tomás, David
Format Journal Article
LanguageEnglish
Published London Routledge 06.02.2022
Taylor & Francis LLC
Subjects
Bitcoin
Digital currencies
Economic analysis
Economic theory
Economics
high-frequency data
low-frequency data
market efficiency
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Summary:Most studies in the Bitcoin literature are focused on daily data without considering other options. Therefore, it is necessary to analyse Bitcoin features at different frequencies. In this letter, we examine Bitcoin efficiency from 1 min to weekly data using the generalized Hurst exponent. Our results show that Bitcoin is more efficient over time regardless of the frequency. In particular, we observe that, since 2016, daily data are generally the most efficient frequency while 1 min and weekly data are the most inefficient. These results are relevant for investors and scholars since we detect the most profitable frequencies and underline the relevance of analysing different frequencies than daily data.
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ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2020.1861196