TY - JOUR
T1 - Technical analysis in cryptocurrency markets
T2 - Do transaction costs and bubbles matter?
AU - Svogun, Daniel
AU - Bazán-Palomino, Walter
N1 - Publisher Copyright:
© 2022 Elsevier B.V.
PY - 2022/7
Y1 - 2022/7
N2 - The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1-minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016-2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.
AB - The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1-minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016-2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.
KW - Technical analysis
KW - Cryptocurrency
KW - Transaction costs
KW - Asset bubbles
UR - http://www.scopus.com/inward/record.url?scp=85132712305&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/ee0ac7d4-363e-3efe-b359-d23cb89da5f0/
U2 - 10.1016/j.intfin.2022.101601
DO - 10.1016/j.intfin.2022.101601
M3 - Article in a journal
SN - 1042-4431
VL - 79
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
M1 - 101601
ER -