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Intraday efficiency-frequency nexus in the cryptocurrency markets

Author

Listed:
  • Aslan, Aylin
  • Sensoy, Ahmet

Abstract

This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies on the predictability of cryptocurrency returns for alternative high frequency intervals. Accordingly, efficiency demonstrates a U-shaped pattern with respect to alternative sampling frequencies, hence there exists an optimal intraday sampling frequency that maximizes the market efficiency. These findings have important implications for portfolio analysis, risk management, regulations and administrative rulings in the cryptocurrency markets.

Suggested Citation

  • Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    • Handle: RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319308025
    DOI: 10.1016/j.frl.2019.09.013
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    More about this item

    Keywords

    Efficient Market Hypothesis (EMH); Cryptocurrencies; Hurst exponent; Algorithmic trading; High-frequency trading;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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