Turn-of-the-candle effect in bitcoin returns

【Author】 Shanaev, Savva; Vasenin, Mikhail; Stepanov, Roman

【Source】HELIYON

【影响因子】3.776

【Abstract】This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated at the turn of 15-min candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other trading minutes are negative. The effect is consistent across Bitcoin exchanges, in quantile regression models, and TGARCH-M estimations with heavy tails, and persist in out-of-sample tests. A high-frequency strategy that exploits this "turn-of-the-candle" effect can be net-outperforming with initial investment as low as $5,000. The anomaly is detected in the data starting from mid-to-late 2020, is potentially associated with algorithmic trading relying on the arrival of 15-min candle information, and its discovery contributes significantly to the under-standing of cryptocurrency adaptive market efficiency. [Shanaev, Savva; Vasenin, Mikhail; Stepanov, Roman] Univ Northumbria Newcastle, Newcastle Upon Tyne NE8 1ST, England Northumbria University Shanaev, S (通讯作者)，Univ Northumbria Newcastle, Newcastle Upon Tyne NE8 1ST, England. s.shanaev@northumbria.ac.uk 38 0 0 0 0 ELSEVIER SCI LTD OXFORD THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND 2405-8440 HELIYON Heliyon MAR 2023 9 3 e14236 10.1016/j.heliyon.2023.e14236 http://dx.doi.org/10.1016/j.heliyon.2023.e14236 MAR 2023 9 Multidisciplinary Sciences Science Citation Index Expanded (SCI-EXPANDED) Science & Technology - Other Topics D4PV4 36938429 Green Published, gold 2023-04-26 WOS:000968576900001

【Keywords】Bitcoin; Cryptocurrency; High frequency; Market efficiency; Market anomaly

【发表时间】2023 MAR

【收录时间】2023-04-27

【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