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Title:
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ARE CRYPTOCURRENCIES UNBIASED? THE CASE OF BITCOIN IN BRAZIL |
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Author(s):
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João Valente Filho, Denis Forte and Eli Hadad Junior |
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ISBN:
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978-989-8533-97-5 |
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Editors:
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Adriana Backx Noronha Viana and Pedro Isaías |
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Year:
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2020 |
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Edition:
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Single |
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Type:
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Concise |
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First Page:
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111 |
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Last Page:
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114 |
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Language:
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English |
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Cover:
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Full Contents:
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click to dowload 
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Paper Abstract:
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Cryptocurrencies are nowadays one of the most important alternative investment markets and therefore have been in spot
for regulatory purposes. One of the main characteristics is to be easy traded all over the world without governmental
interference and without incurring in conversions costs whatsoever. A cryptocurrency like Bitcoin, the most renown and
liquid, is traded at the same time in many different particular markets denominated exchanges. According to Financial
theory, assets with these characteristics would be priced seemingly (considering transactions costs) in any exchange
simultaneously, thanks to international arbitrage among agents. Any exception should be a regulator concern. Results of
this study indicates that prices in different exchanges in USD, EUR and BRL are cointegrated and they have a balanced
price response up to four lags of 15 minutes, making some predictability possible. A yellow light for regulators, since
Bitcoin prices would not be neutral in their expectations but would have a pattern, raising concerns on market efficiency,
regulations and practices. |
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