Cross-sectional interactions in cryptocurrency returns☆

被引：0

作者：

Mercik, Aleksander ^{[1
]}

Bedowska-Sojka, Barbara ^{[2
]}

Karim, Sitara ^{[3
]}

Zaremba, Adam ^{[4
,5
,6
]}

机构：

[1] Wroclaw Univ Econ & Business, Dept Financial Investments & Risk Management, Ul Komandorska 118-120, PL-53345 Wroclaw, Poland

[2] Poznan Univ Econ & Business, Inst Informat & Quantitat Econ, Dept Econometr, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[3] ILMA Univ, Fac Management Sci, Dept Business Adm, Karachi, Pakistan

[4] MBS Sch Business, 2300, Ave Moulins, F-34185 Montpellier, France

[5] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Capital Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[6] Monash Univ, Monash Ctr Financial Studies, Melbourne, Vic, Australia

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2025年 / 97卷

关键词：

Cryptocurrency markets; Return predictability; The cross-section of returns; Interactions; Anomalies; REJECTIVE MULTIPLE TEST; FALSE DISCOVERY RATE; BID-ASK SPREADS; MOMENTUM; INEFFICIENCY; INFORMATION; VOLATILITY; DRIFT; SIZE;

D O I：

10.1016/j.irfa.2024.103809

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate interaction effects in cryptocurrency markets by constructing and evaluating double-sorted portfolios based on 40 different characteristics. Using a dataset of over 500 major coins and tokens from 2017 to 2023, we identify numerous significant interactions. The most pronounced effects arise from the interplay of liquidity, risk, and past return measures. An out-of-sample long-short strategy that selects the top and bottom interactions achieves a Sharpe ratio exceeding 1. However, network graph analysis and additional tests reveal that low liquidity, which raises transaction costs, can dampen trading activity and contribute to the persistence of these anomalies.

引用

页数：25

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