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Rui Dias – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of ร‰vora, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setรบbal, Portugal

Keywords:
Events of 2020 and 2022;
Cryptocurrency markets;
Efficient Market Hypothesis;
Long memories;
Arbitrage

DOI: https://doi.org/10.31410/LIMEN.S.P.2022.19

Abstract

In this paper, we analyse the long memory process in the crypยญtocurrencies Bitcoin (BTC), Cardano (ADA), Binance Coin (BNB), Dogecoin (DOGE), Ethereum (ETH) and Ripple (XRP) from January 1st, 2018, to Noยญvember 10th, 2022, which includes the 2020 and 2022 events. The results demonstrate that the daily returns are leptokurtic, and the distributions are non-Gaussian. We also observe non-linearity, implying autocorrelation or conditional heteroscedasticity in digital currencies. The DFA exponents reยญveal that throughout the Tranquil period, digital currencies with current valยญues higher than 0.5 exhibited long memory in their returns. The BNB digital currency has an exponent of 0.5, indicating that the series were unpredictaยญble throughout this period. As can be shown, all cryptocurrencies offer valยญues of the DFA exponent greater than 0.5 in the Stress subperiod, implying that the higher the DFA exponent and closer to 1, the higher the persistence, as well as the autocorrelation between observations and stronger predictive ability. The findings support the evidence examined by the BDS test, nameยญly that price movements are not i.i.d. (independent and identically distributยญed) and that investors have a high possibility of achieving above-average returns through arbitrage.

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8th International Scientific-Business Conference – LIMEN 2022 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – SELECTED PAPERS, Hybrid (EXE Budapest Center, Budapest, Hungary), December 1, 2022,

LIMEN Selected papers published by the Association of Economists and Managers of the Balkans, Belgrade, Serbia

LIMEN Conference 2022 Selected papers: ISBN 978-86-80194-67-7, ISSN 2683-6149, DOI: https://doi.org/10.31410/LIMEN.S.P.2022

Creative Commons Nonย Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission.ย 

ย  ย  ย  ย  ย  ย  ย  ย  ย  ย  ย Suggestedย citation

Dias, R., Horta, N., Chambino, M., Alexandre, P., & Heliodoro, P. (2022). A Survey on Efficiency and Profitable Trading Opportunities in the Cryptocurrency Markets: An Approach in the Context of the War of 2022. In V. Bevanda (Ed.), International Scientific-Business Conference – LIMEN 2022: Vol 8. Selected papers (pp. 19-30). Association of Economists and Managers of the Balkans. https://doi.org/10.31410/LIMEN.S.P.2022.19

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