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Is idiosyncratic volatility priced in cryptocurrency markets?

Zhang, Wei; Li, Yi - In: Research in international business and finance 54 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012550051

Downside risk and the cross-section of cryptocurrency returns

Zhang, Wei; Li, Yi; Xiong, Xiong; Wang, Pengfei - In: Journal of banking & finance 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256328

MAX momentum in cryptocurrency markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - In: International review of financial analysis 77 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012806335

Does size matter in the cryptocurrency market?

Li, Yi; Zhang, Wei; Xiong, Xiong; Wang, Pengfei - In: Applied economics letters 27 (2020) 14, pp. 1141-1149

Persistent link: https://www.econbiz.de/10012267073

Liquidity risk and expected cryptocurrency returns

Zhang, Wei; Li, Yi - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 472-492

Persistent link: https://www.econbiz.de/10014253217

The role of media coverage in the bubble formation : evidence from the Bitcoin market

Li, Yi; Zhang, Wei; Urquhart, Andrew; Wang, Pengfei - In: Journal of international financial markets, … 80 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013533174

Can altcoins act as hedges or safe-havens for Bitcoin?

Li, Yi; Lucey, Brian M.; Urquhart, Andrew - In: Finance research letters 52 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014472179

MAX Momentum in Cryptocurrency Markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - 2021

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect, due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other...

Persistent link: https://www.econbiz.de/10013228841