比特币汇率的市场效率:来自协整检验的证据

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2017-12-22 DOI:10.2139/ssrn.3179981

Zheng Nan, T. Kaizoji

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引用次数: 2

摘要

本文将美元对欧元的比特币汇率与相关的国外即期汇率进行比较，发现即期汇率与比特币汇率之间存在协整和单向格兰杰因果关系的经验证据。此外，我们发现比特币汇率的市场效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Market Efficiency of the Bitcoin Exchange Rate: Evidence From Co-Integration Tests

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 efficiency in the bitcoin exchange rate.

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来源期刊

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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