MAX momentum in cryptocurrency markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei

doi:10.1016/j.irfa.2021.101829

Cited by 34 publications

(6 citation statements)

References 76 publications

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“…, 2020). Other factors specific to the cryptocurrency market, such as MAX momentum (Li, Urquhart, Wang, & Zhang, 2021), reversal factors (Jia, Goodell, & Shen, 2022), idiosyncratic volatility (Leirvik, 2022; Liu & Tsyvinski, 2021) and liquidity (Zhang & Li, 2020), were also important for predicting cryptocurrency returns. Furthermore, Ciaian et al.…”

Section: Resultsmentioning

confidence: 99%

“…The combined effect of size and momentum factors can effectively capture the cross-sectional variation observed in cryptocurrency returns (Liu et al, 2020). Other factors specific to the cryptocurrency market, such as MAX momentum (Li, Urquhart, Wang, & Zhang, 2021), reversal factors (Jia, Goodell, & Shen, 2022), idiosyncratic volatility (Leirvik, 2022;Liu & Tsyvinski, 2021) and liquidity (Zhang & Li, 2020), were also important for predicting cryptocurrency returns. Furthermore, showed that risk and uncertainty related to the Bitcoin system negatively affected the Bitcoin price.…”

Section: Market Volatilitymentioning

confidence: 99%

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A systematic literature review on the determinants of cryptocurrency pricing

Peng,

Prentice,

Shams

et al. 2023

CAFR

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PurposeGiven the cryptocurrency market boom in recent years, this study aims to identify the factors influencing cryptocurrency pricing and the major gaps for future research.Design/methodology/approachA systematic literature review was undertaken. Three databases, Scopus, Web of Science and EBSCOhost, were used for this review. The final analysis comprised 88 articles that met the eligibility criteria.FindingsThe influential factors were identified and categorized as supply and demand, technology, economics, market volatility, investors’ attributes and social media. This review provides a comprehensive and consolidated view of cryptocurrency pricing and maps the significant influential factors.Originality/valueThis paper is the first to systematically and comprehensively review the relevant literature on cryptocurrency to identify the factors of pricing fluctuation. This research contributes to cryptocurrency research as well as to consumer behaviors and marketing discipline in broad.

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Section: Resultsmentioning

confidence: 99%

Section: Market Volatilitymentioning

confidence: 99%

A systematic literature review on the determinants of cryptocurrency pricing

Peng,

Prentice,

Shams

et al. 2023

CAFR

View full text Add to dashboard Cite

show abstract

“…( 8). Following Harvey and Siddique (2000), Kumar (2009) and Li et al, (2021b), co-skewness is the component of cryptocurrency i's skewness that is associated with the market portfolio skewness, that is, the estimated γ i from Eq. ( 9).…”

Section: Control Variablesmentioning

confidence: 99%

Investor attention and cryptocurrency market liquidity: a double-edged sword

et al. 2022

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This paper explores the double-edged sword effect of investor attention on market liquidity. Based on the analysis on 597 cryptocurrencies from 2014 to 2020, our findings show that static investor attention improves cryptocurrency market liquidity over the next three months by attracting more investors into the market and stimulating buy and sell transactions. By contrast, abnormal attention persistently and negatively affects the liquidity and leads to excessive net buying pressure in the market and a crowded buyers' market, resulting in a sharp deterioration of liquidity. Moreover, these effects intensify during low global economic policy uncertainty periods and for cryptocurrencies with small market capitalization and low idiosyncratic volatility. Overall, our results have important implications for investors, portfolio managers, and policymakers.

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“…Ham et al (2019), Kang andKwon (2017), andMenkhoff et al (2012) find evidence of the momentum phenomenon in commodities, futures, and currency markets. Li et al (2021) introduce the concept of the 'max momentum effect', which describes the tendency for cryptocurrencies with the highest returns to continue exhibiting high returns. Additionally, Pitkäjärvi et al (2020) demonstrate that price trends in bond markets follow those in stock markets, a phenomenon known as 'cross-asset timeseries momentum'.…”

Section: Introductionmentioning

confidence: 99%

“…Li et al . (2021) introduce the concept of the ‘max momentum effect’, which describes the tendency for cryptocurrencies with the highest returns to continue exhibiting high returns. Additionally, Pitkäjärvi et al .…”

Section: Introductionmentioning

confidence: 99%

Does Portfolio Momentum Beat Analyst Advice?

Lee,

Batten,

Ham

et al. 2023

Abacus

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We conduct a comparison of three portfolio investment strategies in the US stock market following the implementation of Regulation Fair Disclosure in October 2000. The strategies analyzed are analyst‐recommended, recommendation changes, and momentum portfolios. Across various time periods, company sizes, and industry sectors, the momentum portfolio consistently outperforms the other strategies. Portfolios based on analyst recommendations exhibit poor performance in industries such as consumer staples and materials, which are strongly correlated with oil prices. These industries are susceptible to external demand and supply‐side price shocks that are not adequately captured by analyst recommendations. The findings highlight firstly, the efficacy of the momentum strategy and the limitations of relying solely on analysts’ recommendations, particularly in oil‐dependent sectors; and secondly, the varying dynamics and performance of different investment strategies for investors seeking to optimize their investment decisions across different sectors and market conditions.

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MAX momentum in cryptocurrency markets

Cited by 34 publications

References 76 publications

A systematic literature review on the determinants of cryptocurrency pricing

A systematic literature review on the determinants of cryptocurrency pricing

Investor attention and cryptocurrency market liquidity: a double-edged sword

Does Portfolio Momentum Beat Analyst Advice?

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