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Exploring the short-term momentum effect in the cryptocurrency market

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Abstract

This study explores the short-term momentum effect in the cryptocurrency market. Utilising a comprehensive cryptocurrency dataset and the portfolio construction methods of Fama and French (J Financ Econ 33:3–56, 1993) and Carhart (J Finance 52:57–82, 1997), we construct cryptocurrency portfolios and examine their performance. The main findings are: (1) the cryptocurrency market portfolio significantly outperforms major stock markets globally in terms of risk-adjusted return; (2) from an asset pricing perspective, short-term momentum effects are significantly priced in the cryptocurrency market, while size effects are controlled, suggesting that the short-term momentum effect explains variations in the returns of cryptocurrency portfolios; and (3) the portfolios constructed according to the short-term momentum effect do not outperform the cryptocurrency market portfolio.

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Correspondence to Bin Liu.

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Nguyen, H., Liu, B. & Parikh, N.Y. Exploring the short-term momentum effect in the cryptocurrency market. Evolut Inst Econ Rev 17, 425–443 (2020). https://doi.org/10.1007/s40844-020-00176-z

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