Seasonality in the Cross-Section of Cryptocurrency Returns

被引：28

作者：

Long, Huaigang ^{[1
]}

Zaremba, Adam ^{[2
,3
]}

Demir, Ender ^{[4
,8
]}

Szczygielski, Jan Jakub ^{[5
,6
]}

Vasenin, Mikhail ^{[7
]}

机构：

[1] Zhejiang Univ, Sch Econ, 38 Zheda Rd, Hangzhou 310027, Zhejiang, Peoples R China

[2] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Capital Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[3] Univ Dubai, Dubai Business Sch, POB 14143, Dubai, U Arab Emirates

[4] Istanbul Medeniyet Univ, Fac Tourism, Istanbul, Turkey

[5] Northumbria Univ, Newcastle Business Sch NBS, Dept Accounting & Financial Management, City Campus East, Newcastle Upon Tyne NE1 8ST, Tyne & Wear, England

[6] Univ Pretoria, Dept Financial Management, Private Bag X20, ZA-0028 Pretoria, South Africa

[7] Northumbria Univ, Fac Business & Law, Newcastle Business Sch NBS, Newcastle Upon Tyne NE1 8ST, Tyne & Wear, England

[8] Univ Social Sci, Lodz, Poland

来源：

FINANCE RESEARCH LETTERS | 2020年 / 35卷

关键词：

Cryptocurrencies; Cross-sectional seasonality; Cross-section of returns; Return predictability; Asset pricing; STOCK RETURNS; AUTOCORRELATION; DYNAMICS;

D O I：

10.1016/j.frl.2020.101566

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study presents the first attempt to examine the cross-sectional seasonality anomaly in cryptocurrency markets. To this end, we apply sorts and cross-sectional regressions to investigate daily returns on 151 cryptocurrencies for the years 2016 to 2019. We find a significant seasonal pattern: average past same-weekday returns positively predict future performance in the crosssection. Cryptocurrencies with high same-day returns in the past outperform cryptocurrencies with a low same-day return. This effect is not subsumed by other established return predictors such as momentum, size, beta, idiosyncratic risk, or liquidity.

引用

页数：8

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