Long Term Memory Effect in Selected Cryptocurrencies

  • Zartashia Hameed Comsats University Islamabad Wah Campus, WahCantt, Pakistan
  • Dr. Khuram Shafi Comsats University Islamabad Wah Campus, WahCantt, Pakistan
  • Dr. Samina Nawab Comsats University Islamabad Wah Campus, WahCantt, Pakistan
Keywords: Long term memory; Generalized Hurst Exponent; Crypto–currency; Bitcoin; Ethereum; Litecoin


The worth of digital currencies is increasing due to its proposed advantages and profits. Though decentralized, these digital currencies can be bought with digital wallets using cryptocurrency platform. Efficient Market Hypothesis (EMH) suggests fundamentals for understanding of financial markets however the opponents believe that this theory is incompetent in explaining the functioning of the markets. EMH is not a perfect model nevertheless it provides a concrete base for the analysis of capital markets. EMH’s weak version is utilized for this study. This research compares three top cryptocurrencies- Bitcoin, Ethereum and Litecoin to analyze their long-range memory effect to check the market efficiency and also to estimate the volatility for further investments in different cryptocurrencies. Generalized Hurst exponent methodology is applied to examine long range memory in selected cryptocurrencies market. Daily data from 17th September 2015 till 17th October 2018 is used in this study. It was found that: (i) Long memory exists in the selected cryptocurrencies; (ii) Ethereum market is more persistent than Bitcoin and Litecoin as its Hurst exponent is more than the other cryptocurrencies. These findings can be a source of assistance for the policy makers and investors while making prudent decisions regarding investment in emerging cryptocurrencies market.

How to Cite
Zartashia Hameed, Dr. Khuram Shafi, & Dr. Samina Nawab. (2021). Long Term Memory Effect in Selected Cryptocurrencies. Research Journal of Social Sciences and Economics Review, 2(2), 255-263. https://doi.org/10.36902/rjsser-vol2-iss2-2021(255-263)