Technical analysis in cryptocurrency markets: Do transaction costs and bubbles matter?

Daniel Svogun and Walter Bazán-Palomino

Journal of International Financial Markets, Institutions and Money, 2022, vol. 79, issue C

Abstract: The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1-minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016–2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.

Keywords: Technical analysis; Cryptocurrency; Transaction costs; Asset bubbles (search for similar items in EconPapers)
JEL-codes: G14 G20 G30 G32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000816

DOI: 10.1016/j.intfin.2022.101601

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