Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration

This paper investigates both market efficiency and volatility persistence in 12 cryptocurrencies during pre-crash and post-crash periods. We were motivated by the erroneous belief of some authors that driving currency, Bitcoin is inefficient. By considering robust fractional integration methods in linear and nonlinear set up, we found that markets of Bitcoin and most altcoins considered in our samples can be dubbed as efficient, and these are highly volatile particularly in the post-crash sample that we are now. These volatilities will then persist for shorter period than in the pre-crash period. Our work therefore renders important information to cryptocurrency market participants and portfolio managers.