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An empirical investigation on risk factors in cryptocurrency futures

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Listed:
  • Yeguang Chi
  • Wenyan Hao
  • Jiangdong Hu
  • Zhenkai Ran

Abstract

We investigate the cross‐section asset‐pricing patterns of major cryptocurrencies from 2017 to 2021. We show that the basis, momentum, and basis–momentum factors earn statistically significant excess returns, a result consistent with the findings reported in the commodity futures literature. The basis is the strongest signal predicting cross‐sectional differences in cryptocurrency futures returns; the momentum‐induced risk premium is not statistically powerful, whereas the basis momentum‐induced risk premium disappears when accounting for the basis‐induced risk premium. Daily factor returns are statistically much stronger than weekly factor returns. Monthly factor returns are nonsignificant.

Suggested Citation

  • Yeguang Chi & Wenyan Hao & Jiangdong Hu & Zhenkai Ran, 2023. "An empirical investigation on risk factors in cryptocurrency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1161-1180, August.
    • Handle: RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1161-1180
    DOI: 10.1002/fut.22425
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    References listed on IDEAS

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