Cryptocurrencies and momentum

Klaus Grobys and Niranjan Sapkota

Economics Letters, 2019, vol. 180, issue C, 6-10

Abstract: Retrieving a set of 143 cryptocurrencies for a sample spanning 2014–2018, we investigate the popular momentum strategy implemented in the cryptocurrency market. Contrary to earlier studies our findings do not indicate any evidence of significant momentum payoffs, supporting the view that the cryptocurrency market is far more efficient than suggested in earlier studies.

Keywords: Asset pricing; Momentum; Cryptocurrencies; Bitcoin (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (55)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:180:y:2019:i:c:p:6-10

DOI: 10.1016/j.econlet.2019.03.028

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