Business Commons^™

Market Efficiency Of Cryptocurrency: Long Term Memory Effect In Bitcoin Trading, Zartashia Hameed, Saima Wazir

3rd IBA SBS International Conference 2024

Cryptocurrency market has attracted interest of both researchers and investors. It is a comparatively newer mode of transactions; therefore, both the agents are interested in the movement of these currencies in terms of volatility and profit. This research makes an effort to examine these phenomena with the help of long-range memory in the Bitcoin market using Generalized Hurst exponent methodology. For this purpose, the daily dataset spanning from 26^th August 2010 to 19^th April 2018 is collected, prepared and analyzed. Findings reveal interesting facts that the Hurst exponents for almost every year are above 0.5, and the long-range …