This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional … important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that …

This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the …-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast …

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 … returns is different on overreaction days compared to normal days; H2) there is a momentum effect on overreaction days, and H3 …