Detecting overreaction in the Bitcoin market: A quantile autoregression approach

Thanaset Chevapatrakul and Danilo V. Mascia

Finance Research Letters, 2019, vol. 30, issue C, 371-377

Abstract: We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly return distribution to exhibit positive dependence with past returns. The evidence points to overreaction in the Bitcoin market: investors overreact during days of sharp declines in the Bitcoin price and during weeks of market rallies.

Keywords: Bitcoin; Cryptocurrencies; Quantile regression; Overreaction (search for similar items in EconPapers)
JEL-codes: C21 C51 C53 G00 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:371-377

DOI: 10.1016/j.frl.2018.11.004

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