Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both

Author:

Wen Zhuzhu,Bouri Elie,Xu Yahua,Zhao Yang

Funder

National Natural Science Foundation of China

Central University of Finance and Economics

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference47 articles.

1. Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin;Ahmed;Journal of Economics and Business,2020

2. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

3. Some reflections on analysis of high-frequency data;Anderson;Journal of Business & Economic Statistics,2000

4. Can volume predict Bitcoin returns and volatility? A quantiles-based approach;Balcilar;Economic Modelling,2017

5. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;Journal of Financial Econometrics,2004

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