Cross-cryptocurrency return predictability

Cross-cryptocurrency return predictability

Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are robust...

Full description

Saved in:
Bibliographic Details
Main Authors: GUO, Li, SANG, Bo, Jun TU, WANG, Yu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Cryptocurrency
return predictability
information spillover
adaptive LASSO
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6901
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7900/viewcontent/SSRN_id3974583.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6901
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7900/viewcontent/SSRN_id3974583.pdf

Similar Items