Technical analysis in cryptocurrency markets: Do transaction costs and bubbles matter?

【Author】 Svogun, Daniel; Bazan-Palomino, Walter

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1 -minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016-2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.

【Keywords】Technical analysis; Cryptocurrency; Transaction costs; Asset bubbles

【发表时间】2022 JUL

【收录时间】2022-08-15

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析