This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose, a number of hypotheses of interest are tested for the Bitcoin, Ethereum and Litecoin exchange rates vis-a-vis the US dollar over the period 01.01.2015–01.09.2019, specifically whether or not: (H1) the intraday behavior of hourly returns is different on abnormal days compared to normal days; (H2) there is a momentum effect on days with abnormal returns, and (H3) after one-day abnormal returns. The methods used for the analysis include various statistical methods as well as a trading simulation approach. The results suggest that hourly returns during the day of positive/negative abnormal returns are significantly higher/lower than those during the average positive/negative day. The presence of abnormal returns can usually be detected before the day ends by estimating specific timing parameters. Prices tend to move in the direction of the abnormal returns till the end of the day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit opportunities. This effect (together with profit opportunities) is also observed on the following day. In two cases (BTCUSD positive abnormal returns and ETHUSD negative abnormal returns), a contrarian effect is detected instead.

中文翻译：

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一日异常收益后加密货币市场的动量效应

本文考察了加密货币市场在一日异常收益后是否存在动量效应。为此，在 01.01.2015-01.09.2019 期间针对比特币、以太坊和莱特币兑美元汇率测试了许多感兴趣的假设，特别是是否：(H1) 盘中与正常日相比，异常日的每小时回报行为有所不同；(H2) 异常收益日存在动量效应，(H3) 异常收益日后存在动量效应。用于分析的方法包括各种统计方法以及交易模拟方法。结果表明，正/负异常收益日的小时收益显着高于/低于平均正/负日的小时收益。通过估计特定的时间参数，通常可以在一天结束之前检测到异常回报的存在。价格往往会朝着异常回报的方向移动，直到它发生的一天结束，这意味着当天存在动量效应，从而产生可利用的获利机会。这种影响（连同盈利机会）也在第二天观察到。在两种情况下（BTCUSD 正异常收益和 ETHUSD 负异常收益），反而会检测到逆势效应。这种影响（连同盈利机会）也在第二天观察到。在两种情况下（BTCUSD 正异常收益和 ETHUSD 负异常收益），反而会检测到逆势效应。这种影响（连同盈利机会）也在第二天观察到。在两种情况下（BTCUSD 正异常收益和 ETHUSD 负异常收益），反而会检测到逆势效应。