Bitcoin intraday time series momentum

Shen, Dehua; Urquhart, Andrew; Wang, Pengfei

doi:10.1111/fire.12290

Cited by 18 publications

(7 citation statements)

References 97 publications

(133 reference statements)

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“…Moreover, the significant seasonal behavior at 3 p.m. could be related to the late-informed investors hypothesis recently provided by Shen et al (2022) to explain the existence of the momentum effect on bitcoin return time series. These authors argue that there are investors who get or process the information later or slowly.…”

Section: Discussionmentioning

confidence: 56%

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

Miralles‐Quirós

Miralles‐Quirós²

2022

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Research background: A current strand of the financial literature is focusing on detecting inefficiencies, such as the day-of-the-week effect, in the cryptocurrency market. However, these studies are not considering that there are no daily closes in this market, and it is possible to trade cryptocurrencies on a continuous basis. This fact may have led to biases in previous empirical results. Purpose of the article: We propose to analyse the day-of-the-week effect on the Bitcoin from an alternative perspective where each hourly data in a day is considered an event. Focusing on that objective, we employ hourly closing prices for Bitcoin which are taken from the Kraken exchange, one of the world leading exchanges and trading platforms in the cryptocurrency markets, for the period spanning from January 2016 to December 2021. Methods: Contrary to the previous empirical evidence, we do not calculate daily returns, but rather the first stage of our proposed approach is devoted to analysing the hourly mean returns for each of the 24 hours of the day for each day of the week. We look for statistically significant hourly mean returns that could advance the importance of the hourly differentiation in the Bitcoin market. In a second stage, we calculate different post-event cumulative returns which are defined as the change in log prices over a time interval. Finally, we propose different investment strategies simply based on the significant hourly mean returns we obtain and we evaluate their performance in terms of the Sharpe ratio. Findings & value added: We contribute to the debate about the degree of Bitcoin?s market efficiency by providing an alternative methodology based on an event study hourly approach. Furthermore, we provide evidence that by investing in different post-event hourly windows it is possible to outperform the classic buy-and-hold strategy.

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Section: Discussionmentioning

confidence: 56%

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

Miralles‐Quirós

Miralles‐Quirós²

2022

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“…The USD/BTC is the simple unweighted average of the monthly closing price (Gbadebo et al, 2021; Pyo & Lee, 2020). Based on previous studies (e.g., Gbadebo, 2023; Gbadebo et al, 2021; Jia et al, 2022; Pyo & Lee, 2020; Shen et al, 2021; Wang et al, 2022), the price and volume are log transformed. The logarithmic normalization is completed to preserve the cointegration as well as eliminate possible heteroscedasticity is in the series (Pyo & Lee, 2020).…”

Section: Methodsmentioning

confidence: 99%

“…Major areas often considered in researching on Bitcoin include forecasting price (Adekunle et al, 2022; Basher & Sadorsky, 2022; A. Demir et al, 2019; Gbadebo et al, 2022; Hamayel & Owda, 2021; Velankar et al, 2018; Ye et al, 2022), jump and co-movements in price (Shen et al, 2020); intraday reversal and momentum effects (Jia et al, 2022; Shen et al, 2020, 2021) and determinants of Bitcoin price (Gbadebo et al, 2021; Jaquart et al, 2021; Koutmos, 2020).…”

Section: Literaturementioning

confidence: 99%

“…The model has a greater explanatory power and outperforms the quasi-cryptocurrency capital asset pricing model based on Shen et al (2020). Shen et al (2021) examines momentum effects using Bitcoin price volatility. The study identifies that the first trading window with the highest trading volume or volatility are associated with the greatest predictability for intraday time-series momentum.…”

Section: Empirical Reviewmentioning

confidence: 99%

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Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation

Gbadebo

2023

SAGE Open

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Bitcoin has attracted incessant attentions in recent times. Studies have completed models to examine the relationship between Bitcoin and other multiple attendant variables. This paper considers a simple and direct price-volume relation. The paper offers causality evidence according to the dynamic asymmetric causality test. Based on available monthly data spanning 2010:M7-2022:M10, the paper shows that Bitcoin price and volume are integrated, both been I(0)’s. Moreover, the paper discloses the short- and long-term price-volume behaviors of Bitcoin using the cointegration test and vector error correction model (VECM). Taken together, the study first confirms long run relations and presents the estimates of the parsimonious VECM. The results show short run evidence of positive price-volume relations, and in the long run, the disequilibria are as well corrective and mean reversing. The outcomes of the Hatemi-J’s causality testing suggest likely evidence of bidirectional causality between the positive and negative fragments of the shocks of Bitcoin price and volume during the periods.

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“…Concerns surrounding the influence of cryptocurrencies on financial stability include investor-related portfolio concerns. Cryptocurrencies are known for manifesting momentum (Karaa et al, 2021;Shen et al, 2021) and for generally being susceptible to waves of investor sentiment that have recently manifested in various contexts (Long et al, 2022). A logical extension of these concerns is whether cryptocurrency fragility also impacts equity markets or whether stock price crash risk, primarily due to releases of bad news hoarding (Shen et al, 2021), impacts cryptocurrencies.…”

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confidence: 99%

Understanding the transmission of crash risk between cryptocurrency and equity markets

Dai

Goodell

Huynh

et al. 2023

The Financial Review

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We evidence that cryptocurrencies have a higher probability of crashes than equity indices, although such crashes are of shorter duration. Commonality of crash risk between cryptocurrency and equity markets occur in approximately 80% of the periods examined. Further, recently evolved cryptocurrency uncertainty indices are more relevant for predicting co-crash behavior than economic policy uncertainty. Results are consistent with cryptocurrencies being a growing source of financial instability.

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Bitcoin intraday time series momentum

Cited by 18 publications

References 97 publications

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach

Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation

Understanding the transmission of crash risk between cryptocurrency and equity markets

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