Cryptocurrency return reversals

【Author】 Kozlowski, Steven E.; Puleo, Michael R.; Zhou, Jizhou

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】Analysing a set of 200 cryptocurrencies over the period from 2015 to 2019, we document a significant return reversal effect that holds at the daily, weekly, and monthly rebalancing frequencies and is robust to controls for differences in size, turnover, and illiquidity. Moreover, the reversal effect persists during both halves of our sample period and following periods of both high and low market implied volatility. Consistent with the effect being driven by a combination of market inefficiency and compensation for liquidity provision, we find reversals are most pronounced among smaller capitalization and less liquid cryptocurrencies.

【Keywords】Cryptocurrency; short-term reversal; market efficiency; market liquidity; return predictability

【发表时间】2020 25-Jun

【收录时间】2022-01-02

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