Bitcoin intraday time-series momentum

Shen, D., Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, P. (2022) Bitcoin intraday time-series momentum. Financial Review, 57 (2). pp. 319-344. ISSN 1540-6288 doi: 10.1111/fire.12290

Abstract/Summary

This study examines intraday time-series momentum in Bitcoin. Unlike stock markets, Bitcoin trades 24 hours a day and therefore has not got a clear opening and closing period. Therefore, we use trading volume as a proxy for the market trading time and show that the first half-hour positively predicts the last half-hour return. We find that the first trading sessions with the highest volume or volatility are associated with the greatest predictability for intraday time-series momentum. We also show that intraday momentum-based trading yields substantial economic gains in terms of market timing and asset allocation, especially in periods of a market downturn in Bitcoin. Consistent with foreign exchange markets in Elaut et al. (2018), we also show that the intraday momentum is driven by liquidity provision not late-informed trading.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/100181
Identification Number/DOI	10.1111/fire.12290
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Wiley
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