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Title | Price overreactions in the cryptocurrency market |
Authors |
Caporale, M.G.
Plastun, Oleksii Leonidovych ![]() |
ORCID |
http://orcid.org/0000-0001-8208-7135 |
Keywords |
cryptocurrency market Bitcoin overreaction momentum abnormal returns contrarian strategy trading strategy trading robot |
Type | Article |
Date of Issue | 2019 |
URI | http://essuir.sumdu.edu.ua/handle/123456789/76119 |
Publisher | Emerald |
License | |
Citation | Caporale, M.G. Price overreactions in the cryptocurrency market / M.G. Caporale, A. Plastun // Journal of Economic Studies. – 2019. – Vol. 46 No. 5. – P. 1137-1155. – https://doi.org/10.1108/JES-09-2018-0310. |
Abstract |
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin,
LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with
dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of
price patterns after overreactions: the next-day price changes in both directions are bigger
than after “normal” days. A trading robot approach is then used to establish whether these
statistical anomalies can be exploited to generate profits. The results suggest that a strategy
based on counter-movements after overreactions is not profitable, whilst one based on
inertia appears to be profitable but produces outcomes not statistically different from the
random ones. Therefore the overreactions detected in the cryptocurrency market do not give
rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be
seen as evidence against the Efficient Market Hypothesis (EMH). |
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File | Size | Format | Downloads |
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Caporale_Plastun_Price_overreactions.pdf | 502.45 kB | Adobe PDF | 753064 |
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