This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and …

test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so … data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter …

there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …

returns is different on overreaction days compared to normal days; H2) there is a momentum effect on overreaction days, and H3 …This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market …. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis …

BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the … returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can … be detected. On the following day two different price patterns are detected: a momentum effect for Oil prices and a …

suggest that there is a 2-hour window before close of business to exploit momentum effects on days with abnormal returns. On … the following day momentum effects occur after positive abnormal returns, and contrarian (momentum) effects in the case of …