Lottery-like momentum in the cryptocurrency market

Chiao-Han Lin, Kuang-Chieh Yen and Hui-Pei Cheng

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: Following the methodology of Bali et al. (2011), we construct the lottery-like portfolio based on the maximum return. First, we find that a higher maximum return leads to a higher future return among 64 cryptocurrencies. This phenomenon is called the lottery-like momentum. Controlling for the momentum effect, the lottery-like momentum still exists in the cryptocurrency market. In addition, we find that the major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)—are less likely to have extreme positive returns. And the absence of extreme positive returns is persistent.

Keywords: Bitcoin; Cryptocurrencies; Lottery; Momentum (search for similar items in EconPapers)
JEL-codes: D81 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001625

DOI: 10.1016/j.najef.2021.101552

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