Lottery-like momentum in the cryptocurrency market

【Author】 Lin, Chiao-Han; Yen, Kuang-Chieh; Cheng, Hui-Pei

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】Following the methodology of Bali et al. (2011), we construct the lottery-like portfolio based on the maximum return. First, we find that a higher maximum return leads to a higher future return among 64 cryptocurrencies. This phenomenon is called the lottery-like momentum. Controlling for the momentum effect, the lottery-like momentum still exists in the cryptocurrency market. In addition, we find that the major cryptocurrencies-Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)-are less likely to have extreme positive returns. And the absence of extreme positive returns is persistent.

【Keywords】Bitcoin; Cryptocurrencies; Lottery; Momentum

【发表时间】2021 NOV

【收录时间】2022-01-14

【文献类型】期刊

【主题类别】

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