An empirical investigation on risk factors in cryptocurrency futures

Yeguang Chi, Wenyan Hao, Jiangdong Hu and Zhenkai Ran

Journal of Futures Markets, 2023, vol. 43, issue 8, 1161-1180

Abstract: We investigate the cross‐section asset‐pricing patterns of major cryptocurrencies from 2017 to 2021. We show that the basis, momentum, and basis–momentum factors earn statistically significant excess returns, a result consistent with the findings reported in the commodity futures literature. The basis is the strongest signal predicting cross‐sectional differences in cryptocurrency futures returns; the momentum‐induced risk premium is not statistically powerful, whereas the basis momentum‐induced risk premium disappears when accounting for the basis‐induced risk premium. Daily factor returns are statistically much stronger than weekly factor returns. Monthly factor returns are nonsignificant.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/fut.22425

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:wly:jfutmk:v:43:y:2023:i:8:p:1161-1180

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().