Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both

【Author】 Wen, Zhuzhu; Bouri, Elie; Xu, Yahua; Zhao, Yang

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper reports evidence of intraday return predictability, consisting of both intraday momentum and reversal, in the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that the patterns of intraday return predictability change in the presence of large intraday price jumps, FOMC announcement release, liquidity levels, and the outbreak of the COVID-19. Intraday return predictability is also found in other actively traded cryptocurrencies such as Ethereum, Litecoin, and Ripple. Further analysis shows that the timing strategy based on the intraday predictors produces higher economic value than the benchmark strategy such as the always-long or the buy-and-hold. Evidence of intraday momentum can be explained in light of the theory of late-informed investors, whereas evidence of intraday reversal, which is unique to the cryptocurrency market, can be related to investors' overreaction to non-fundamental information and overconfidence bias.

【Keywords】Intraday return predictability; Cryptocurrency markets; Bitcoin; Momentum; Reversal; Economic value; Market timing strategy

【发表时间】2022 NOV

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币