Technical trading rules in the cryptocurrency market

doi:10.1016/j.frl.2019.101396

Finance Research Letters

Volume 32, January 2020, 101396

https://doi.org/10.1016/j.frl.2019.101396 Get rights and content

Under a Creative Commons license

Open access

Highlights

•: We examine technical trading rules in cryptocurrency markets.
•: We employ a multivariate econometric tests.
•: Our results indicate that a simple moving average rule produces excess returns.
•: We find that cryptocurrency markets are inefficient.

Abstract

This paper studies simple moving average trading strategies employing daily price data on the eleven most-traded cryptocurrencies in the 2016–2018 period. Our results indicate a variable moving average strategy is successful when using the 20 days moving average trading strategy. Specifically, excluding Bitcoin the technical trading rule generates an excess return of 8.76% p.a. after controlling for the average market return. Our results suggest that cryptocurrency markets are inefficient.

Keywords

Technical analysis

Cryptocurrency

Bitcoin

Financial Technology

FinTech

JEL classification

G01

G21

G30

G32

Cited by (0)

: Shaker Ahmed gratefully acknowledges the research grants by the OP Group Research Foundation, the Finnish Savings Banks Research Foundation, and the Jenny and Antti Wihuri Foundation.

¹: The authors are grateful for having received valuable comments by an anonymous reviewer.