Momentum effects in the cryptocurrency market after one-day abnormal returns

Caporale, Guglielmo Maria; Plastun, Alex

doi:10.1007/s11408-020-00357-1

Cited by 19 publications

(10 citation statements)

References 56 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For the case of negative abnormal returns, it appears that markets react too strongly to the new information (overreact) and the next day prices tend to return to the equilibrium level. In general, these results are in line with those provided by Caporale and Plastun (2020a, 2020b.…”

Section: Resultssupporting

confidence: 91%

“…Based on results provided by Caporale and Plastun (2020a, 2020b price dynamics on the day after abnormal returns, as a rule, is typical and can be described as a momentum or contrarian effect. The momentum effect is observed in the emerging stock markets, oil prices, and most cryptocurrency markets.…”

Section: Introductionmentioning

confidence: 99%

“…The momentum effect is observed in the emerging stock markets, oil prices, and most cryptocurrency markets. Contrarian effect is typical for the FOREX (Caporale & Plastun, 2020a), developed stock markets, gold prices (Caporale & Plastun, 2021) and Bitcoin (Caporale & Plastun, 2020b). Thus, the less efficient the market, the more time it needs to incorporate new information (markets underreact).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Daily abnormal returns and price effects in the “passion investments” market

Plastun

Havrylina

Sliusareva

et al. 2021

Investment Management and Financial Innovations

Self Cite

View full text Add to dashboard Cite

This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market. Acknowledgment The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473).

show abstract

Section: Resultssupporting

confidence: 91%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Daily abnormal returns and price effects in the “passion investments” market

Plastun

Havrylina

Sliusareva

et al. 2021

Investment Management and Financial Innovations

Self Cite

View full text Add to dashboard Cite

show abstract

“…In summary, the literature on short term overreactions remains vibrant with studies on emerging markets (for example Boubaker et al (2015), Pokavattana et al (2019), Zaremba (2019), and Mynhardt and Plastun (2013)), cross sectional international studies (for example Blackburn and Cakici (2017)), and studies on other markets such as the cryptocurrency market (for example Caporale and Plastun (2019b), and Caporale and Plastun (2019c)). The historical question on the existence and the reasons of market overreactions remains relevant today in developed markets and can even collaborate what is observed in new markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Evolution of price effects after one-day abnormal returns in the US stock market

Plastun

Sibande

Gupta

et al. 2021

The North American Journal of Economics and Finance

Self Cite

View full text Add to dashboard Cite

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market for the case of Dow Jones Index over the period 1890-2018. Using different statistical tests (both parametrical and non-parametrical) as well as additional technics like modified cumulative abnormal returns approach, regression analysis with dummy variables, R/S analysis and a trading simulation approach; four hypotheses were tested, which are (H 1): the after one-day of abnormal returns specific price effects (momentum/contrarian) do appear; (H 2): the price effects after one-day of abnormal returns vary in time and evolve; (H 3): the price effects after one-day of abnormal returns can be exploited to generate profits from trading; and (H 4): the level of persistence in anomalies related data set differs from the normal data set persistence. The results suggest that price effects after one-day abnormal returns during the analyzed period tend to be rather unstable both from the position of their strength and direction (momentum or contrarian effect). Between the 1940s and the 1980s a strong momentum effect after a day of positive abnormal returns was present and it was exploitable for profit. However, after the 1980s this has since disappeared. Nowadays the after one-day of abnormal returns price effects in the US stock market are rather weak and do not generate profit opportunities. The results, therefore, are consistent with the Adaptive Market Hypothesis.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

et al. 2020

Self Cite

View full text Add to dashboard Cite

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market for the case of Dow Jones Index over the period 1890-2018. Using different statistical tests (both parametrical and non-parametrical) as well as additional technics like modified cumulative abnormal returns approach, regression analysis with dummy variables, R/S analysis and a trading simulation approach; four hypotheses were tested, which are (H 1 ): the after one-day of abnormal returns specific price effects (momentum/contrarian) do appear; (H 2 ): the price effects after one-day of abnormal returns vary in time and evolve; (H 3 ): the price effects after one-day of abnormal returns can be exploited to generate profits from trading; and (H 4 ): the level of persistence in anomalies related data set differs from the normal data set persistence. The results suggest that price effects after one-day abnormal returns during the analyzed period tend to be rather unstable both from the position of their strength and direction (momentum or contrarian effect). Between the 1940s and the 1980s a strong momentum effect after a day of positive abnormal returns was present and it was exploitable for profit. However, after the 1980s this has since disappeared. Nowadays the after one-day of abnormal returns price effects in the US stock market are rather weak and do not generate profit opportunities. The results, therefore, are consistent with the Adaptive Market Hypothesis.

show abstract

Momentum effects in the cryptocurrency market after one-day abnormal returns

Cited by 19 publications

References 56 publications

Daily abnormal returns and price effects in the “passion investments” market

Daily abnormal returns and price effects in the “passion investments” market

Evolution of price effects after one-day abnormal returns in the US stock market

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

Contact Info

Product

Resources

About