On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach

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

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】The cryptocurrency literature on technical analysis has largely ignored drivers of technical analysis return adjusted by transaction costs (i.e., adjusted returns). To that end, we propose a Heterogeneous Autoregressive Distributed Lag Model of Returns (HARDL-R) to examine the impact from EPU, VIX, and SP500 returns to adjusted returns. We provide evidence that these three drivers matter during bubble periods compared to non-bubble periods. When not differentiating bubble periods, we find that VIX is the only driver influencing the dynamics of adjusted returns from 2016 to 2021. These findings remain relatively stable after controlling for the volume of transactions.

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

【发表时间】2023 MAR

【收录时间】2023-03-09

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-数字货币