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Title Bitcoin fluctuations and the frequency of price overreactions
Authors Caporale, G.M.
Plastun, Oleksii Leonidovych  
Oliinyk, Viktor Mykhailovych  
Keywords біткоін
биткоин
BitCoin
Type Article
Date of Issue 2019
URI http://essuir.sumdu.edu.ua/handle/123456789/75816
Publisher Springer
License
Citation Caporale, G.M. Bitcoin fluctuations and the frequency of price overreactions [Text] / G.M. Caporale, A. Plastun, V. Oliinyk // Financial Markets and Portfolio Management, 2019. – Vol. 33, Issue 2. – P. 109-131. https://doi.org/10.1007/s11408-019-00332-5
Abstract This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013–2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical methods (both parametric and non-parametric) including ADF tests, Granger causality tests, correlation analysis, regression analysis with dummy variables, ARIMA and ARMAX models, neural net models, and VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about Bitcoin price movements (H1) and (ii) exhibits no seasonality (H2). On the whole, the results suggest that it can provide useful information to predict price dynamics in the cryptocurrency market and for designing trading strategies (H1 cannot be rejected), whilst there is no evidence of seasonality (H2 cannot be rejected).
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