TY  - JOUR
AB  - Purpose The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash.Design/methodology/approach A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U-test) tests confirm the presence of price patterns after overreactions: the next day price changes in both directions are bigger than after “normal” days. A trading robot approach is then used to establish whether these statistical anomalies can be exploited to generate profits.Findings The results suggest that a strategy based on counter-movements after overreactions is not profitable, whilst one based on inertia appears to be profitable but produces outcomes not statistically different from the random ones. Therefore, the overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the efficient market hypothesis (EMH).Originality/value The overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the EMH.
VL  - 46
IS  - 5
SN  - 0144-3585
DO  - 10.1108/JES-09-2018-0310
UR  - https://doi.org/10.1108/JES-09-2018-0310
AU  - Caporale Guglielmo Maria
AU  - Plastun Alex
PY  - 2019
Y1  - 2019/01/01
TI  - Price overreactions in the cryptocurrency market
T2  - Journal of Economic Studies
PB  - Emerald Publishing Limited
SP  - 1137
EP  - 1155
Y2  - 2024/04/25
ER  -