Detecting overreaction in the Bitcoin market: A quantile autoregression approach

被引：36

作者：

Chevapatrakul, Thanaset ^{[1
]}

Mascia, Danilo V. ^{[1
]}

机构：

[1] Univ Nottingham, Business Sch, Jubilee Campus,Wollaton Rd, Nottingham NG8 1BB, England

来源：

FINANCE RESEARCH LETTERS | 2019年 / 30卷

关键词：

Bitcoin; Cryptocurrencies; Quantile regression; Overreaction;

D O I：

10.1016/j.frl.2018.11.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly return distribution to exhibit positive dependence with past returns. The evidence points to overreaction in the Bitcoin market: investors overreact during days of sharp declines in the Bitcoin price and during weeks of market rallies.

引用

页码：371 / 377

页数：7

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