Investigating the Persistence of Bitcoin’s Time Series – A Fractional Integration Approach

Abstract

The article uses the daily and close prices and returns of bitcoin from January 2012 to September 2020 to investigate the persistence in bitcoin’s time series. The fractional integration is computed for the entire data sample and for each period before and after the structural break. The results show that bitcoin price series are nonstationary and highly persistent overtime, especially during the period after the tructural break. In contrast, the daily bitcoin return series is stationary and its persistence over time is quite weak. The article also identifies bitcoin's persistence during the global Covid-19 outbreak and shows that the persistence of bitcoin price and return series are similar to that of post-break period. The impact of Covid-19 on bitcoin market is not clearly evident in the fractional integration approach.