Cryptocurrency Returns Over a Decade: Breaks, Trend Breaks and Outliers

Suleiman Dahir Mohamed, Mohd Tahir Ismail and Majid Khan Bin Majahar Ali
Additional contact information
Suleiman Dahir Mohamed: Universiti Sains Malaysia (USM)
Mohd Tahir Ismail: Universiti Sains Malaysia (USM)
Majid Khan Bin Majahar Ali: Universiti Sains Malaysia (USM)

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2023, vol. 71, issue 1, 1 - 20

Abstract: This study finds breaks, trend breaks, and outliers in the last decade returns of five cryptocurrencies Bitcoin, Ethereum, Litecoin, Tether USD, and Ripple that experienced frequent changes. The study uses the indicator saturation (IS) approach to simultaneously identify breaks, trend breaks, and outliers in these returns to gain a deeper understanding in their dynamics. The study found that monthly, weekly and daily breaks existed in these returns as well as trend breaks, and outliers mostly during the market peaks in 2017, 2018, 2020, and 2021 that can be attributed to a number of things, such as the global Covid-19 pandemic in 2020, the 2021 crypto crackdown in China, the 2020 price halving of Bitcoin, and the 2017–2018 initial coin offering (ICO) boom. These returns also have common break segments and outliers. The application of IS technique to cryptocurrencies and simultaneous detection of market breaks, trend breaks, and outliers makes this study unique. This study is limited to considering only returns of five digital coins. These results may help traders, investors, and financial analysts modify their tactics and risk-management techniques to deal with the complexity of the cryptocurrency market.

Keywords: breaks; trend breaks; outliers; cryptocurrency; indicator saturation. (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2422 (application/pdf)

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:aic:saebjn:v:71:y:2023:i:1:p:1-20:n:7

DOI: 10.47743/saeb-2024-0003

Access Statistics for this article

More articles in Scientific Annals of Economics and Business (continues Analele Stiintifice) from Alexandru Ioan Cuza University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Sireteanu Napoleon-Alexandru ().