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Cryptocurrencies and momentum
Klaus Grobys (University of Vaasa), Niranjan Sapkota (University of Vaasa)
Economics Letters
DOI: 10.1016/j.econlet.2019.03.028 (Economics, Econometrics and Finance)
Licence : CC BY-NC-ND
Résumé : Retrieving a set of 143 cryptocurrencies for a sample spanning 2014–2018, we investigate the popular momentum strategy implemented in the cryptocurrency market. Contrary to earlier studies our findings do not indicate any evidence of significant momentum payoffs, supporting the view that the cryptocurrency market is far more efficient than suggested in earlier studies.
Publié le 02 Avr. 2019