A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2023-09-26 DOI:10.1016/j.jempfin.2023.101428

Yuecheng Jia , Yangru Wu , Shu Yan , Yuzheng Liu

引用次数: 0

Abstract

This paper investigates the intraday return cross-predictability of cryptocurrencies. In contrast to the positive lead–lag effect for stocks, we document a negative lead–lag effect in the cryptocurrency market. Specifically, the large coins negatively predict the other coins but the small coins rarely predict the large coins. A trading strategy that exploits the cross-predictability via the Least Absolute Shrinkage and Selection Operator ( $L A S S O$ ) yields highly significant profits across major cryptocurrency exchanges even in the presence of realistic transaction costs.

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加密货币市场的跷跷板效应:理解加密货币的回报交叉可预测性

本文研究了加密货币的日内收益交叉可预测性。与股票的正超前-滞后效应相反，我们记录了加密货币市场的负超前-滞后影响。具体而言，大硬币对其他硬币进行负预测，但小硬币很少对大硬币进行预测。通过最小绝对收缩和选择算子（LASSO）利用交叉可预测性的交易策略在主要加密货币交易所产生了非常可观的利润，即使存在现实的交易成本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.