Can Bitcoin be a stable investment?

Ismail Çelik

This study aims to analyze the volatility structure of Bitcoin returns, which became a popular investment after 2009. The Fractal Market Hypothesis (FMH) is chosen as the instrument to investigate the issue. By testing this hypothesis, the sudden price fluctuations in Bitcoin returns were tried to be determined. Daily closing price of Bitcoin between 04/2013-01/2019 were obtained from coinmarketcap. The fractal nature of Bitcoin market is tested with R/S, DFA, Periodogram and GPH models. The Hurst exponents show that FMH is valid in the Bitcoin market. Additionally, the effect of financial bubble formation and structural breaks on fractality is investigated through the ARFIMA-FIGARCH and ARFIMA-HYGARCH models. We observe that financial bubbles and regime changes increase the fractal structure (long memory) in the Bitcoin market

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Year of publication:	2020
Authors:	Çelik, Ismail
Published in:	Financial studies. - Bucharest : [Verlag nicht ermittelbar], ISSN 2066-6071, ZDB-ID 2737729-5. - Vol. 24.2020, 2, p. 19-36
Subject:	Fractal Market Hypothesis \| Hurst Exponent \| Financial Bubbles \| FIGARCH \| HYGARCH \| Spekulationsblase \| Bubbles \| Finanzmarkt \| Financial market \| Theorie \| Theory \| Effizienzmarkthypothese \| Efficient market hypothesis \| Spekulation \| Speculation

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	hdl:10419/231697 [Handle]
Classification:	c58 ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012484965