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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |
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