Download This PaperBehavioral Anomalies in Cryptocurrency Markets
35 Pages Posted: 21 May 2018 Last revised: 5 Apr 2023
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: 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
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.