Tzouvanas_paper.pdf (518.69 kB)
Momentum trading in cryptocurrencies: short-term returns and diversification benefits
journal contribution
posted on 2023-06-09, 19:15 authored by Panagiotis Tzouvanas, Renatas Kizys, Bayasgalan Tsend-AyushWe test for the presence of momentum effects in cryptocurrency market and estimate dynamic conditional correlations (DCCs) of returns between momentum portfolios of cryptocurrencies and traditional assets. First, investment portfolios are constructed adherent to the classic J/K momentum strategy, using daily data from twelve cryptocurrencies for over a period of three years. We identify the existence of momentum effect, which is highly significant for short-term portfolios but disappears over the longer term. Second, we show that cross correlations of weekly returns between momentum portfolio of cryptocurrencies and traditional assets are unlike correlations of returns between traditional assets. Third, we find that momentum portfolios of cryptocurrencies not only offer diversification benefits but also can be a hedge and safe haven for traditional assets.
History
Publication status
- Published
File Version
- Accepted version
Journal
Economics LettersISSN
0165-1765Publisher
ElsevierExternal DOI
Department affiliated with
- Accounting and Finance Publications
Research groups affiliated with
- Business and Finance Research Group Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2019-10-07First Open Access (FOA) Date
2021-03-30First Compliant Deposit (FCD) Date
2019-10-08Usage metrics
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