Cryptocurrency momentum has (not) its moments

Tietueen suppeat tiedot
annif.suggestionssecurity market|investments|securities portfolios|financial markets|shares|strategies|portfolios|pricing|prices|investments (economics)|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p4320|http://www.yso.fi/onto/yso/p17562|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p11398|http://www.yso.fi/onto/yso/p4632|http://www.yso.fi/onto/yso/p8330|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p4319en
dc.contributor.authorGrobys, Klaus
dc.contributor.authorKolari, James W.
dc.contributor.authorSandretto, Davide
dc.contributor.authorShahzad, Syed Jawad H.
dc.contributor.authorÄijö, Janne
dc.contributor.departmentInnolab-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0002-4121-3606-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-08-12T12:23:07Z
dc.date.accessioned2025-08-15T07:35:19Z
dc.date.available2025-08-12T12:23:07Z
dc.date.issued2025-03-27
dc.description.abstractThis 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.-
dc.description.notification© The Author(s) under exclusive licence to Swiss Society for Financial Market Research 2025. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent34-
dc.identifier.olddbid24288
dc.identifier.oldhandle10024/20018
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/18877
dc.identifier.urnURN:NBN:fi-fe2025081282312-
dc.language.isoeng-
dc.publisherSpringer Nature-
dc.relation.doi10.1007/s11408-025-00474-9-
dc.relation.ispartofjournalFinancial Markets and Portfolio Management-
dc.relation.issn2373-8529-
dc.relation.issn1934-4554-
dc.relation.urlhttps://doi.org/10.1007/s11408-025-00474-9-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001454883200001-
dc.source.identifier2-s2.0-105001476900-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/20018
dc.subjectCryptocurrencies-
dc.subjectEfficient markets-
dc.subjectMomentum-
dc.subjectVolatility scaling-
dc.subjectTail risk-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titleCryptocurrency momentum has (not) its moments-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

Tiedostot

Näytetään 1 - 1 / 1
Name:
Osuva_Grobys_Kolari_Sandretto_Shahzad_Äijö_2025.pdf
Size:
1.31 MB
Format:
Adobe Portable Document Format
Lataa

Kokoelmat

Artikkelit