Exploring the short-term momentum effect in the cryptocurrency market

Nguyen Ha (), Bin Liu () and Nirav Y. Parikh
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Bin Liu: University of Wollongong
Nirav Y. Parikh: RMIT University
Authors registered in the RePEc Author Service: Thi Thanh Ha Nguyen

Evolutionary and Institutional Economics Review, 2020, vol. 17, issue 2, No 10, 425-443

Abstract: Abstract This study explores the short-term momentum effect in the cryptocurrency market. Utilising a comprehensive cryptocurrency dataset and the portfolio construction methods of Fama and French (J Financ Econ 33:3–56, 1993) and Carhart (J Finance 52:57–82, 1997), we construct cryptocurrency portfolios and examine their performance. The main findings are: (1) the cryptocurrency market portfolio significantly outperforms major stock markets globally in terms of risk-adjusted return; (2) from an asset pricing perspective, short-term momentum effects are significantly priced in the cryptocurrency market, while size effects are controlled, suggesting that the short-term momentum effect explains variations in the returns of cryptocurrency portfolios; and (3) the portfolios constructed according to the short-term momentum effect do not outperform the cryptocurrency market portfolio.

Keywords: Cryptocurrency; Bitcoin; Momentum; Asset pricing; Portfolio performance; Portfolio management; JEL classification: G11; G12 (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s40844-020-00176-z

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