KAIZOJI, Taisei
Professor Division of Arts and Sciences, College of Liberal Arts, International Christian University |
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Language | English |
Publication Date | 2019/07 |
Type | Research Paper |
Peer Review | With peer review |
Title | Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates |
Contribution Type | Joint Work |
Journal | International Review of Financial Analysis |
Journal Type | Another Country |
Publisher | Elsevier |
Volume, Issue, Pages | 64,pp.273-281 |
Author and coauthor | Zheng Nan, and Taisei Kaizoji |
Details | 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. |