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Does size matter in the cryptocurrency market?

Author

Listed:
  • Yi Li
  • Wei Zhang
  • Xiong Xiong
  • Pengfei Wang

Abstract

This paper examines the size effect in the cryptocurrency market with a sample of more than 1800 cryptocurrencies over the period from January 2014 to May 2019. We find that cryptocurrencies with small market value tend to perform better in the future, which challenges the Efficient Market Hypothesis. The size effect is stable over the sample period and robust to the sample size. The prior returns and liquidity also have an impact on the size effect. In addition, our findings provide practical implications for cryptocurrency investors.

Suggested Citation

  • Yi Li & Wei Zhang & Xiong Xiong & Pengfei Wang, 2020. "Does size matter in the cryptocurrency market?," Applied Economics Letters, Taylor & Francis Journals, vol. 27(14), pages 1141-1149, July.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:14:p:1141-1149
    DOI: 10.1080/13504851.2019.1673298
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    Cited by:

    1. Ahn, Yongkil & Kim, Dongyeon, 2021. "Emotional trading in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 42(C).
    2. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    3. Zhao, Xiaojuan & Wang, Ye & Liu, Weiyi, 2024. "Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    4. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    5. Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
    6. Wei Zhang & Yi Li, 2023. "Liquidity risk and expected cryptocurrency returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 472-492, January.
    7. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
    8. Ahn, Yongkil & Kim, Dongyeon, 2023. "Visceral emotions and Bitcoin trading," Finance Research Letters, Elsevier, vol. 51(C).

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