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Assessing the predictability of cryptocurrency prices

The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Applicat...

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Main Authors: Abdul Rahim, Ruzita, Pick, Soon Ling, Mohd Khalid, Muhammad Airil Syafiq
Format: Article
Language:English
Published: UUM Press 2021
Subjects:
HG Finance
Online Access:https://repo.uum.edu.my/id/eprint/28995/1/MMJ%2025%202021%20143-168.pdf
https://doi.org/10.32890/mmj2021.25.6
https://repo.uum.edu.my/id/eprint/28995/
https://e-journal.uum.edu.my/index.php/mmj/article/view/13100
https://doi.org/10.32890/mmj2021.25.6
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id my.uum.repo.28995
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spelling my.uum.repo.289952023-05-17T14:34:21Z https://repo.uum.edu.my/id/eprint/28995/ Assessing the predictability of cryptocurrency prices Abdul Rahim, Ruzita Pick, Soon Ling Mohd Khalid, Muhammad Airil Syafiq HG Finance The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Application, Payment, Privacy, Platform, and Utility. Two market efficiency tests (Ljung-Box autocorrelation and Runs tests) were run on the daily returns of the 52 unique cryptocurrencies and the MSCI World index from 28 April 2013 to 30 June 2019. The results showed that Bitcoin was consistently efficient, whereas most of the other cryptocurrencies and even the MSCI World index were not, implying that their prices were predictable. Categorically, Payment altcoins were the most consistent in showing inefficiency. Since altcoins in this category also recorded the third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance of exploiting the market information to make extremely high abnormal returns. UUM Press 2021 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/28995/1/MMJ%2025%202021%20143-168.pdf Abdul Rahim, Ruzita and Pick, Soon Ling and Mohd Khalid, Muhammad Airil Syafiq (2021) Assessing the predictability of cryptocurrency prices. Malaysian Management Journal, 25. pp. 143-168. ISSN 0128-6226 https://e-journal.uum.edu.my/index.php/mmj/article/view/13100 https://doi.org/10.32890/mmj2021.25.6 https://doi.org/10.32890/mmj2021.25.6
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutional Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Abdul Rahim, Ruzita
Pick, Soon Ling
Mohd Khalid, Muhammad Airil Syafiq
Assessing the predictability of cryptocurrency prices
description The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Application, Payment, Privacy, Platform, and Utility. Two market efficiency tests (Ljung-Box autocorrelation and Runs tests) were run on the daily returns of the 52 unique cryptocurrencies and the MSCI World index from 28 April 2013 to 30 June 2019. The results showed that Bitcoin was consistently efficient, whereas most of the other cryptocurrencies and even the MSCI World index were not, implying that their prices were predictable. Categorically, Payment altcoins were the most consistent in showing inefficiency. Since altcoins in this category also recorded the third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance of exploiting the market information to make extremely high abnormal returns.
format Article
author Abdul Rahim, Ruzita
Pick, Soon Ling
Mohd Khalid, Muhammad Airil Syafiq
author_facet Abdul Rahim, Ruzita
Pick, Soon Ling
Mohd Khalid, Muhammad Airil Syafiq
author_sort Abdul Rahim, Ruzita
title Assessing the predictability of cryptocurrency prices
title_short Assessing the predictability of cryptocurrency prices
title_full Assessing the predictability of cryptocurrency prices
title_fullStr Assessing the predictability of cryptocurrency prices
title_full_unstemmed Assessing the predictability of cryptocurrency prices
title_sort assessing the predictability of cryptocurrency prices
publisher UUM Press
publishDate 2021
url https://repo.uum.edu.my/id/eprint/28995/1/MMJ%2025%202021%20143-168.pdf
https://doi.org/10.32890/mmj2021.25.6
https://repo.uum.edu.my/id/eprint/28995/
https://e-journal.uum.edu.my/index.php/mmj/article/view/13100
https://doi.org/10.32890/mmj2021.25.6
_version_ 1768010683592474624
score 13.211869

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