SavedAdd your journal

Journals / Üçüncü Sektör Sosyal Ekonomi / 2022 / Cilt: 57 - Sayı: 1

Technological Innovation and Cryptocurrency Markets: Testing Momentum and Contrarian Anomalies

Teknolojik İnovasyon ve Kripto Para Piyasaları: Momentum ve Zıtlık Anomalilerinin Test Edilmesi

Eyyüp Ensari ŞAHİN
Ceyda AKTAN
Pages
442–457
Publication Date
2022-11-06
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Keywords: Bitcoin, Blockchain, Momentum Anomaly, Contrarian Anomaly, Cryptocurrency.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to investigate both the momentum and contrarian anomalies (strategies) that may exist in the cryptocurrency market, focusing especially on Bitcoin.
📊
Key Findings & Data:Daily Bitcoin prices were taken from a period starting 02.02.2012 and ending 27.02.2020 and used in the wild bootstrap automatic variance ratio (WBAVR) test proposed by Kim (2009).
💡
Conclusion & Impact:Keywords: Bitcoin, Blockchain, Momentum Anomaly, Contrarian Anomaly, Cryptocurrency.
🔬Design:Research Article
📍Scope:2012 Verileri
⚙️Variables:Domain Parameters

Abstract

This study aims to investigate both the momentum and contrarian anomalies (strategies) that may exist in the cryptocurrency market, focusing especially on Bitcoin. Daily Bitcoin prices were taken from a period starting 02.02.2012 and ending 27.02.2020 and used in the wild bootstrap automatic variance ratio (WBAVR) test proposed by Kim (2009). This test is robust to non-normality and conditional heteroscedasticity which are the main characteristics of financial time series, therefore, making it a valid test to be used to measure the momentum and contrarian effects. Results of the study demonstrate that: (1) There are both momentum and contrarian anomalies in Bitcoin price movements; (2) Bitcoin prices are generally predicted with the past price movements; (3) Abnormal returns are more likely to be obtained by employing contrarian strategy compared to momentum strategy. This study gives important information about the Bitcoin price movements to savings owners, portfolio managers and institutional investors who follow an investment strategy with past price movements. Keywords: Bitcoin, Blockchain, Momentum Anomaly, Contrarian Anomaly, Cryptocurrency.

Özet

Bu çalışma, kripto para piyasasında var olabilecek hem momentum hem de zıtlık anomalilerini (stratejilerini) Bitcoin odağında incelemeyi amaçlamaktadır. 02.02.2012 ile 27.02.2020 tarihleri arasındaki Bitcoin fiyatları günlük olarak alınmıştır ve Kim (2009) tarafından önerilen wild bootstrap automatic variance ratio (WBAVR) testinde kullanılmıştır. Bu test, finansal zaman serilerinin temel özellikleri olan normal olmayan ve koşullu değişen varyanslılığa karşı güçlüdür, bu nedenle momentum ve zıt etkileri ölçmek için geçerli bir testtir. Çalışmada elde edilen sonuçlara göre: (1) Bitcoin fiyat hareketlerinde hem momentum hem de zıt anomalilerin varlığı görülmektedir; (2) Bitcoin fiyatları genellikle geçmiş fiyat hareketleriyle tahmin edilmektedir; (3) Anormal getirilerin, momentum stratejisine kıyasla zıt strateji kullanılarak elde edilmesi daha olasıdır. Bu çalışma, geçmiş fiyat hareketleri ile bir yatırım stratejisi izleyen tasarruf sahiplerine, portföy yöneticilerine ve kurumsal yatırımcılara Bitcoin fiyat hareketleri hakkında önemli bilgiler vermektedir.

🔖

Cite This Article

ŞAHİN, E. E., AKTAN, C. (2022). Technological Innovation and Cryptocurrency Markets: Testing Momentum and Contrarian Anomalies. Üçüncü Sektör Sosyal Ekonomi, Cilt: 57 - Sayı: 1, 442–457. https://ajindex.com/articles/645575

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (14)

  1. Aktan, C., Iren, P., & Omay T. (2019). Market Development and Market Efficiency: Evidence Based on Nonlinear Panel Unit Root Tests. The European Journal Of Finance, 25(11), 979-993.
  2. Alvarado, J., & Halgamuge, M. N. (2019). New Era in the Supply Chain Management with Blockchain: A Survey. In Industry 4.0 And Hyper-Customized Smart Manufacturing Supply Chains (pp 1-37).
  3. IGI Global. Andrews, D. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59(3), 817–858.
  4. Bartos, J. (2015). Does Bitcoin Follow the Hypothesis of Efficient Market?. International Journal of Economic Sciences, 4(2), 10-23.
  5. Buchholz, M., Delaney, J., Warren, J., & Parker, J. (2012).
  6. Bits and Bets, Information, Price Volatility, and Demand for Bitcoin. Economics, 312, 2-48.
  7. Caporale, G. M., Gil-Alana, L., & Plastun, A. (2018). Persistence in the Cryptocurrency Market. Research In International Business and Finance, 46, 141-148.
  8. Caporale, G. M., & Plastun, A. (2018). The Day of the Week Effect in the Cryptocurrency Market. Finance Research Letters, 130(31), 258-269.
  9. Caporale, G. M., & Plastun, A. (2019). Price Overreactions in the Cryptocurrency Market. Journal of Economic Studies, 46(5), 1137-1155. Caporale G. M., & Plastun, A. (2019). On Stock Price Overreactions: Frequency, Seasonality and Information Content. Journal of Applied Economics, 22(1), 602-621.
  10. Caporale, G. M., & Plastun, A. (2020). Momentum Effects in the Cryptocurrency Market After One- Day Abnormal Returns. Financial Markets And Portfolio Management, 34(3), 251-266.
  11. Charles, A., Darné, O., & Kim, J. H. (2011). Small Sample Properties of Alternative Tests For Martingale Difference Hypothesis. Economics Letters, 110, 151-154.
  12. Charles, A., Darné, O., & Kim, J. H. (2012). Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence From Major Foreign Exchange Rates. Journal of International Money and Finance, 31(6), 1607-1626.
  13. Charles, A,, Darné, O., & Kim, J. H. (2015). Will Precious Metals Shine? A Market Efficiency Perspective. International Review of Financial Analysis, 41, 284-291. DOI: 10.1016/j.irfa.2015.01.018 Cheah, E. T., & Fry, J. (2015). Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin. Economics Letters, 130, 32-36.
  14. Cheng, Q., Liu, X., & Zhu, X. (2019). Cryptocurrency Momentum Effect: DFA and MF-DFA Analysis. Physica A: Statistical Mechanics and its Applications, 526(03), 1-29. Chevapatrakul,