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On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market
16 references·3 citing·48 second hopsampled
On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market (2020)On the Market Efficiency and Liquidity of…Some stylized facts of the cryptocurrency market (2018)Some stylized facts of the cr…Adaptive market hypothesis and evolving predictability of bitcoin (2018)Adaptive market hypothesis an…Time-varying long-term memory in Bitcoin market (2017)Time-varying long-term memory…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Long-range correlations and asymmetry in the Bitcoin market (2017)Long-range correlations and a…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…A Statistical Analysis of Cryptocurrencies (2017)A Statistical Analysis of Cry…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Automatic variance ratio test under conditional heteroskedasticity (2009)Automatic variance ratio test…An automatic Portmanteau test for serial correlation (2009)An automatic Portmanteau test…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Duration Dependence in Stock Prices (2004)Duration Dependence in Stock …Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns (2024)Sentiment matters: the effect…On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum (2024)On the efficiency and its dri…The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets (2020)The efficiency of Bitcoin: A …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Efficient Tests of Nonstationary Hypotheses (1994)Backtesting Expected Shortfall: Accounting for Tail Risk (2016)Fear of the coronavirus and the stock markets (2020)Impact of COVID-19 on stock market efficiency: Evidence from developed countries (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)On the inefficiency of Bitcoin (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Comparison of detrending methods for fluctuation analysis (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Théorie de la spéculation (1900)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A new look at Cryptocurrencies (2017)What Causes the Attention of Bitcoin? (2018)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Adaptive Markets Hypothesis (2004)Fusion in stock market prediction: A decade survey on the necessity, recent developments, and potential future directions (2020)Prediction of cryptocurrency returns using machine learning (2020)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Long-Term Global Market Correlations (2001)Buying Beauty: On Prices and Returns in the Art Market (2012)Predicting the Price of Bitcoin Using Machine Learning (2018)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • 2017Time-varying long-term memory in Bitcoin market296 cited
  • 2009An automatic Portmanteau test for serial correlation268 cited
  • 2018Adaptive market hypothesis and evolving predictability of bitcoin267 cited
  • 2004Duration Dependence in Stock Prices259 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 2017A Statistical Analysis of Cryptocurrencies197 cited
  • 2018Some stylized facts of the cryptocurrency market187 cited
  • 2009Automatic variance ratio test under conditional heteroskedasticity181 cited

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  • 2017Long-range correlations and asymmetry in the Bitcoin market175 cited
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    • 2024On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum42 cited
    • 2024Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns35 cited
    • 2020The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets35 cited