MAX momentum in the cryptocurrency market

Li, Y., Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243, Wang, P. and Zhang, W. (2021) MAX momentum in the cryptocurrency market. International Review of Financial Analysis, 77. 101829. ISSN 1057-5219 doi: 10.1016/j.irfa.2021.101829

Abstract/Summary

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 markets, we demonstrate that cryptocurrencies with higher maximum daily returns tend to achieve higher returns in the future and call this the “MAX momentum” effect. We also find that the magnitude of the MAX momentum effect varies with market conditions, investor sentiment and the underpricing of cryptocurrencies. Additionally, this effect is robust to longer holding periods, different MAX measures and alternative sample selection criteria.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/99101
Identification Number/DOI	10.1016/j.irfa.2021.101829
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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