カイゾウジ， タイセイ   KAIZOJI, Taisei   海蔵寺　大成    所属   国際基督教大学教養学部 アーツ・サイエンス学科    職種   教授
言語種別	英語
発行・発表の年月	2019/07
形態種別	研究論文
査読	査読あり
標題	Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates
執筆形態	共著
掲載誌名	International Review of Financial Analysis
掲載区分	国外
出版社・発行元	Elsevier
巻・号・頁	64,pp.273-281
著者・共著者	Zheng Nan, and Taisei Kaizoji
概要	We propose a bitcoin-based exchange rate of USD/EUR and investigate market efficiency in the spot, futures, and forward FX markets. Structural-change, unit-root and Johansen tests indicate that the bitcoin exchange rate is a random walk and is co-integrated with the FX series. Inferences regarding the co-integrating coefficients suggest the long-run “unbiasedness” and short-run “fair game” nature of the bitcoin exchange rate. Our results are indicative of weak or semi-strong market efficiency.