Cryptocurrencies and momentum
Grobys, Klaus; Sapkota, Niranjan (2019-07-01)
Grobys, Klaus
Sapkota, Niranjan
Elsevier
01.07.2019
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe202001283611
https://urn.fi/URN:NBN:fi-fe202001283611
Kuvaus
vertaisarvioitu
Tiivistelmä
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.
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