<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper's contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.</p>
</abstract>

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper's contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.

Is Bitcoin an emerging market? A market efficiency perspective

Poznań University of Economics and Business

Institute of Accounting and Finance Management

Central European Economic Journal

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Is Bitcoin an emerging market? A market efficiency perspective"}

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about...

Is Bitcoin an emerging market? A market efficiency perspective

Publié en ligne: 04 sept. 2023

Pages: 219 - 236

DOI: https://doi.org/10.2478/ceej-2023-0013

Mots clés
bitcoin, market efficiency, emerging stock markets, long-range dependence, Hurst exponent

© 2023 Mateusz Skwarek, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Is Bitcoin an emerging market? A market efficiency perspective

Publié en ligne: 04 sept. 2023

Pages: 219 - 236

DOI: https://doi.org/10.2478/ceej-2023-0013

Mots clésbitcoin, market efficiency, emerging stock markets, long-range dependence, Hurst exponent

© 2023 Mateusz Skwarek, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
bitcoin, market efficiency, emerging stock markets, long-range dependence, Hurst exponent