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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제23권 제1호
- 발행연도
- 2021.1
- 수록면
- 75 - 85 (11page)
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This paper investigates the long memory property of four cryptocurrencies (Bitcoin, Dash, Ethereum, and Litecoin) using the Rescaled Range Hurst analysis. The presence of long memory test for the validity of efficient market hypothesis in the cryptocurrency markets. First, we use traditional long memory tests (Hurst-Mandelbrot R/S, GSP and GPH) to investigate the long memory property in the returns and volatilities of cryptocurrency markets. We find that the volatility shows strong long memory property. Second, we employs the rolling sample approach and calculate time-varying long memory propertty in the returns and volatilities of cryptocurrency markets. Emprical results show that both the volatility and returns of cryptocurrency markets possess the time-varying long memory property. The average Hurst exponents are well above 0.5, indicating the presence of long memory. The long memory property of volatility is stronger than that of returns. The time-varying Hurst exponent values for BTC are significant higher than those of other cryptocurrencies (DASH, ETH, and LTC). This finding indicates that BTC is less efficient than other cryptocurrency markets. Therefore, the presence of long memory is important to predict future cryptocurrency prices, for asset allocation, and for portfolio assessment.
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참고문헌 (31)
참고문헌 신청
Tim Bollerslev / 1996 / Modeling and pricing long memory in stock market volatility / Journal of Econometrics 73(1):151~184
Daniel O Cajueiro / 2004 / The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient / Physica A: Statistical Mechanics and its Applications 336(3-4):521~537
Daniel O. Cajueiro / 2005 / Testing for time-varying long-range dependence in volatility for emerging markets / Physica A: Statistical Mechanics and its Applications 346(3-4):577~588
최서연 / 2018 / 가상 화폐의 비선형성에 관한 연구 / Journal of The Korean Data Analysis Society 20(2):791~799
Shaen Corbet / 2019 / Cryptocurrencies as a financial asset: A systematic analysis / International Review of Financial Analysis 62:182~199
Daniel O Cajueiro / 2004 / The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient / Physica A: Statistical Mechanics and its Applications 336(3-4):521~537
Daniel O. Cajueiro / 2005 / Testing for time-varying long-range dependence in volatility for emerging markets / Physica A: Statistical Mechanics and its Applications 346(3-4):577~588
최서연 / 2018 / 가상 화폐의 비선형성에 관한 연구 / Journal of The Korean Data Analysis Society 20(2):791~799
Shaen Corbet / 2019 / Cryptocurrencies as a financial asset: A systematic analysis / International Review of Financial Analysis 62:182~199
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