ARE CRYPTOCURRENCIES UNBIASED? THE CASE OF BITCOIN IN BRAZIL

Proceedings of the International Conference on Applied Management Advances in the 21st Century 2020 Pub Date : 2020-02-05 DOI:10.33965/ama2020_202003c019

Joao Valente Filho, Denis Forte, E. Júnior

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Abstract

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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加密货币是公正的吗?巴西的比特币案例

加密货币如今是最重要的另类投资市场之一，因此已成为监管目的。其中一个主要特点是在没有政府干预的情况下，在世界各地很容易交易，也不会产生任何转换成本。像比特币这样最知名、最具流动性的加密货币，可以在许多不同的特定市场交易所同时交易。根据金融理论，由于代理人之间的国际套利，具有这些特征的资产将在任何交易所同时看似定价(考虑交易成本)。任何例外都应该引起监管机构的关注。本研究的结果表明，美元、欧元和巴西雷亚尔在不同交易所的价格是协整的，它们有一个平衡的价格响应，长达4个15分钟的滞后，使一些可预测性成为可能。这对监管机构来说是一盏黄灯，因为比特币的价格在他们的预期中不会是中性的，而是会有一个模式，引发对市场效率、监管和实践的担忧。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Proceedings of the International Conference on Applied Management Advances in the 21st Century 2020

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