Market efficiency of the bitcoin exchange rate: Weak and semi-strong form tests with the spot, futures and forward foreign exchange rates
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DOI: 10.1016/j.irfa.2019.06.003
Abstract: Abstract 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… read more here.
Keywords: bitcoin exchange; exchange; exchange rate; market efficiency ... See more keywords