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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Plastun, A | - |
dc.date.accessioned | 2020-04-16T15:15:39Z | - |
dc.date.available | 2020-04-16T15:15:39Z | - |
dc.date.issued | 2020-05-27 | - |
dc.identifier.citation | Caporale, G.M. and Plastun, A. (2020) 'Momentum effects in the cryptocurrency market after one-day abnormal returns', Financial Markets and Portfolio Management, 34, pp. 251 - 266. doi: 10.1007/s11408-020-00357-1. | en_US |
dc.identifier.issn | 1934-4554 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/20686 | - |
dc.description.abstract | © The Author(s) 2020. This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose, a number of hypotheses of interest are tested for the Bitcoin, Ethereum and Litecoin exchange rates vis-à-vis the US dollar over the period 01.01.2015–01.09.2019, specifically whether or not: (H1) the intraday behavior of hourly returns is different on abnormal days compared to normal days; (H2) there is a momentum effect on days with abnormal returns, and (H3) after one-day abnormal returns. The methods used for the analysis include various statistical methods as well as a trading simulation approach. The results suggest that hourly returns during the day of positive/negative abnormal returns are significantly higher/lower than those during the average positive/negative day. The presence of abnormal returns can usually be detected before the day ends by estimating specific timing parameters. Prices tend to move in the direction of the abnormal returns till the end of the day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit opportunities. This effect (together with profit opportunities) is also observed on the following day. In two cases (BTCUSD positive abnormal returns and ETHUSD negative abnormal returns), a contrarian effect is detected instead. | - |
dc.description.sponsorship | The Ministry of Education and Science of Ukraine | en_US |
dc.format.extent | 251 - 266 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Springer Nature | en_US |
dc.rights | © The Author(s) 2020. Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | cryptocurrency | en_US |
dc.subject | anomalies | en_US |
dc.subject | momentum Effect | en_US |
dc.subject | abnormal Returns | en_US |
dc.subject | patterns | en_US |
dc.title | Momentum effects in the cryptocurrency market after one-day abnormal returns | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1007/s11408-020-00357-1 | - |
dc.relation.isPartOf | Financial Markets and Portfolio Management | - |
pubs.publication-status | Published | - |
pubs.volume | 34 | - |
dc.identifier.eissn | 2373-8529 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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