ASSESSING THE PREDICTABILITY OF CRYPTOCURRENCY PRICES
نویسندگان
چکیده
The predictability of asset prices works against the notion an efficient market where reflect all available and relevant information. This paper examined Bitcoin 51 other cryptocurrencies that have been classified into following five categories: Application, Payment, Privacy, Platform, Utility. Two efficiency tests (Ljung-Box autocorrelation Runs tests) were run on daily returns 52 unique MSCI World index from 28 April 2013 to 30 June 2019. results showed was consistently efficient, whereas most even not, implying their predictable. Categorically, Payment altcoins consistent in showing inefficiency. Since this category also recorded third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance exploiting information make extremely high abnormal returns.
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ژورنال
عنوان ژورنال: Malaysian management journal
سال: 2021
ISSN: ['2289-6651', '0128-6226']
DOI: https://doi.org/10.32890/mmj2021.25.6