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Market Efficiency of the Bitcoin Exchange Rate : Evidence From Co-Integration Tests
Nan, Zheng - 2018
In this paper, we compare the bitcoin exchange rate of the U.S. dollar against the Euro with the relevant foreign spot exchange rate and find empirical evidence of co-integration and one-way Granger-causality from the spot exchange rate to the bitcoin exchange rate. Furthermore, we find market...
Persistent link: https://www.econbiz.de/10012919048
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Market efficiency of the bitcoin exchange rate : weak and semi-strong form tests with the spot, futures and forward foreign exchange rates
Nan, Zheng; Kaizoji, Taisei - In: International review of financial analysis 64 (2019), pp. 273-281
Persistent link: https://www.econbiz.de/10012208489
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Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge : modeling with a bivariate GARCH model
Nan, Zheng; Kaizoji, Taisei - In: Quantitative finance and economics 3 (2019) 2, pp. 347-365
Persistent link: https://www.econbiz.de/10012176483