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Cryptocurrencies and momentum

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  • Grobys, Klaus
  • Sapkota, Niranjan

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.

Suggested Citation

  • Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
    • Handle: RePEc:eee:ecolet:v:180:y:2019:i:c:p:6-10
    DOI: 10.1016/j.econlet.2019.03.028
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    References listed on IDEAS

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    More about this item

    Keywords

    Asset pricing; Momentum; Cryptocurrencies; Bitcoin;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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