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Lottery-like momentum in the cryptocurrency market

Author

Listed:
  • Lin, Chiao-Han
  • Yen, Kuang-Chieh
  • Cheng, Hui-Pei

Abstract

Following the methodology of Bali et al. (2011), we construct the lottery-like portfolio based on the maximum return. First, we find that a higher maximum return leads to a higher future return among 64 cryptocurrencies. This phenomenon is called the lottery-like momentum. Controlling for the momentum effect, the lottery-like momentum still exists in the cryptocurrency market. In addition, we find that the major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)—are less likely to have extreme positive returns. And the absence of extreme positive returns is persistent.

Suggested Citation

  • Lin, Chiao-Han & Yen, Kuang-Chieh & Cheng, Hui-Pei, 2021. "Lottery-like momentum in the cryptocurrency market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001625
    DOI: 10.1016/j.najef.2021.101552
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    References listed on IDEAS

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    Cited by:

    1. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    2. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Beyond the hype: examining the relationship between Wikipedia attention and realised skewness for crypto assets," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-12, September.
    3. Amin Izadyar & Shiva Zamani, 2022. "Investor base and idiosyncratic volatility of cryptocurrencies," Papers 2211.13274, arXiv.org.
    4. Wen, Zhuzhu & Bouri, Elie & Xu, Yahua & Zhao, Yang, 2022. "Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

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    More about this item

    Keywords

    Bitcoin; Cryptocurrencies; Lottery; Momentum;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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