MAX momentum in cryptocurrency markets

This paper studies the MAX effect, relationship between maximum daily returns and future in cryptocurrency market. The market is an ideal setting for effect due to its lottery-like features (i.e., large positive skewness). Contrary findings other markets, we demonstrate that cryptocurrencies with higher tend achieve call this “MAX momentum” effect. We also find magnitude of momentum varies conditions, investor sentiment underpricing cryptocurrencies. Additionally, robust longer holding periods, different measures alternative sample selection criteria.