Cryptocurrency momentum has (not) its moments

Kuvaus

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This paper explores the tail behavior of cryptocurrency momentum strategies and the profitability of volatility-managed momentum portfolios. Our main results derived from using a sample of large-cap cryptocurrencies and equal-weighted momentum portfolios indicate that cryptocurrency momentum is subject to severe crashes. Even a single cryptocurrency can cause insignificant momentum portfolio returns. In line with the literature on volatility-managing equity portfolios, our findings suggest that volatility management is a useful tool for mitigating cryptocurrency momentum crashes. Further corroborative evidence suggests that cryptocurrency momentum appears to be a phenomenon associated with large-cap cryptocurrencies.

Emojulkaisu

ISBN

ISSN

2373-8529
1934-4554

Aihealue

Kausijulkaisu

Financial Markets and Portfolio Management

OKM-julkaisutyyppi

A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä