Behavioral Anomalies in Cryptocurrency Markets

35 Pages Posted: 21 May 2018 Last revised: 30 Sep 2020

See all articles by Hanlin Yang

Hanlin Yang

China International Capital Corporation Hong Kong Limited

Date Written: June 5, 2019

Abstract

If behavioral biases explain asset pricing anomalies, they should also materialize in cryptocurrency markets. I test more than 20 stock return anomalies based on daily cryptocurrency data, and document strong evidence of price momentum. Controlling for market and size, price momentum remains statistically significant, whereas price reversal and risk-based anomalies are weak. Cryptocurrency anomalies can be explained by behavioral theories that emphasize noise trader risks than fundamental risks.

Keywords: Cryptocurrencies, behavioral anomalies, momentum

JEL Classification: G11, G12, G41

Suggested Citation

Yang, Hanlin, Behavioral Anomalies in Cryptocurrency Markets (June 5, 2019). Available at SSRN: https://ssrn.com/abstract=3174421 or http://dx.doi.org/10.2139/ssrn.3174421

Hanlin Yang (Contact Author)

China International Capital Corporation Hong Kong Limited ( email )

25/F&29/F, One International Finance Center
1 Harbour View Street, Central
Hong Kong SAR
Hong Kong

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,638
Abstract Views
5,316
rank
14,194
PlumX Metrics