Please use this identifier to cite or link to this item:
https://essuir.sumdu.edu.ua/handle/123456789/87593
Or use following links to share this resource in social networks:
Tweet
Recommend this item
Title | Bitcoin Returns and the Frequency of Daily Abnormal Returns |
Authors |
Caporale, G.M.
Plastun, Oleksii Leonidovych Oliinyk, Viktor Mykhailovych |
ORCID |
http://orcid.org/0000-0001-8208-7135 http://orcid.org/0000-0001-6251-3846 |
Keywords |
weighted least squares (WLS) Bitcoin returns abnormal returns |
Type | Article |
Date of Issue | 2021 |
URI | https://essuir.sumdu.edu.ua/handle/123456789/87593 |
Publisher | Pitt Open Library Publishing |
License | Creative Commons Attribution 4.0 International License |
Citation | Caporale, G. M., Plastun, A., & Oliinyk, V. (2021). Bitcoin Returns and the Frequency of Daily Abnormal Returns. Ledger, 6. https://doi.org/10.5195/ledger.2021.216 |
Abstract |
This paper investigates the relationship between Bitcoin returns and the frequency of daily abnormal returns over the period from June 2013 to February 2020 using a number of regression techniques and model specifications including standard OLS, weighted least squares (WLS), ARMA and ARMAX models, quantile regressions, Logit and Probit regressions, piecewise linear regressions, and non-linear regressions. Both the in-sample and out-of-sample performance of the various models are compared by means of appropriate selection criteria and statistical tests. These suggest that, on the whole, the piecewise linear models are the best, but in terms of forecasting accuracy they are outperformed by a model that combines the top five to produce “consensus” forecasts. The finding that there exist price patterns that can be exploited to predict future price movements and design profitable trading strategies is of interest both to academics (since it represents evidence against the EMH) and to practitioners (who can use this information for their investment decisions). |
Appears in Collections: |
Наукові видання (ННІ БіЕМ) |
Views
Australia
1
China
1
Finland
173
Germany
27360577
Greece
716
Ireland
11970
Japan
1
Latvia
1
Lithuania
1
Singapore
12325018
Sweden
356
Ukraine
434488
United Kingdom
127560
United States
27360579
Unknown Country
69718845
Vietnam
713
Downloads
Australia
1
China
868973
Germany
9614467
Indonesia
1
Iran
1
Ireland
1
Lithuania
1
Russia
1
Singapore
1
Taiwan
1
Turkey
868973
Ukraine
1
United Kingdom
8036
United States
12325020
Unknown Country
1
Vietnam
1
Files
File | Size | Format | Downloads |
---|---|---|---|
Caporale_et_al_Bitcoin_Returns_2021.pdf | 1.96 MB | Adobe PDF | 23685480 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.