Behavioral Anomalies in Cryptocurrency Markets

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

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)

University of Zurich ( email )

Plattenstrasse 14
Z├╝rich, 8032
Switzerland

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