Cryptocurrencies and momentum

By Klaus Grobys, Niranjan Sapkota. Economics Letters, 2019

116 citations recorded by the source corpus.

Retrieving a set of 143 cryptocurrencies for a sample spanning 2014–2018, we investigate the popular momentum strategy implemented in the cryptocurrency market. Contrary to earlier studies our findings do not indicate any evidence of significant momentum payoffs, supporting the view that the cryptocurrency market is far more efficient than suggested in earlier studies.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/18a7d9d75fd4f1c220026895901e1be8d9291cb6

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Citations in the corpus

A three-factor pricing model for cryptocurrencies (2020, methodology): “Following Grobys and Sapkota (2019) who document the significantly negative momentum payoffs in the short term, we further examine the predicted momentum returns in the week-frequency by forming the J-K portfolios based on the prior J weeks’ performance with the breakpoints of the top decile…”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “Shen et al (2019) show that the number of tweets of Bitcoin is significant driver of trading volume and realized volatility of cryptocurrencies while Grobys and Sapkota (2019) show no evidence of significant momentum profits in cryptocurrency markets.”