Intraday efficiency-frequency nexus in the cryptocurrency markets

Aylin Aslan and Ahmet Sensoy

Finance Research Letters, 2020, vol. 35, issue C

Abstract: This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies on the predictability of cryptocurrency returns for alternative high frequency intervals. Accordingly, efficiency demonstrates a U-shaped pattern with respect to alternative sampling frequencies, hence there exists an optimal intraday sampling frequency that maximizes the market efficiency. These findings have important implications for portfolio analysis, risk management, regulations and administrative rulings in the cryptocurrency markets.

Keywords: Efficient Market Hypothesis (EMH); Cryptocurrencies; Hurst exponent; Algorithmic trading; High-frequency trading (search for similar items in EconPapers)
JEL-codes: C53 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319308025
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319308025

DOI: 10.1016/j.frl.2019.09.013

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().