Analysing a set of 200 cryptocurrencies over the period from 2015 to 2019, we document a significant return reversal effect that holds at the daily, weekly, and monthly rebalancing frequencies and is robust to controls for differences in size, turnover, and illiquidity. Moreover, the reversal effect persists during both halves of our sample period and following periods of both high and low market implied volatility. Consistent with the effect being driven by a combination of market inefficiency and compensation for liquidity provision, we find reversals are most pronounced among smaller capitalization and less liquid cryptocurrencies.
Applied Economics Letters
Kozlowski, Steven E.; Puleo, Michael R.; and Zhou, Jizhou, "Cryptocurrency return reversals" (2020). Business Faculty Publications. 246.
Kozlowski, Steven E., Michael R. Puleo, and Jizhou Zhou. "Cryptocurrency return reversals." Applied Economics Letters 28, no. 11 (2021): 887-893. https://doi.org/10.1080/13504851.2020.1784831.
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This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on June 23, 2020, available at: http://www.tandfonline.com/10.1080/13504851.2020.1784831.