Chevapatrakul, T and Mascia, DV orcid.org/0000-0002-3776-0420 (2019) Detecting overreaction in the Bitcoin market: A quantile autoregression approach. Finance Research Letters, 30. pp. 371-377. ISSN 1544-6123
Abstract
We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly return distribution to exhibit positive dependence with past returns. The evidence points to overreaction in the Bitcoin market: investors overreact during days of sharp declines in the Bitcoin price and during weeks of market rallies.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | Crown Copyright © 2018 Published by Elsevier Inc. All rights reserved. This is an author produced version of a paper published in Finance Research Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Bitcoin; Cryptocurrencies; Quantile regression; Overreaction |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 04 Apr 2019 15:54 |
Last Modified: | 06 Nov 2019 01:39 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.frl.2018.11.004 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:144484 |