Intraday efficiency-frequency nexus in the cryptocurrency markets
Date
2020
Authors
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Advisor
Supervisor
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Instructor
Source Title
Finance Research Letters
Print ISSN
1544-6123
Electronic ISSN
Publisher
Elsevier
Volume
35
Issue
Pages
101298
Language
English
Type
Journal Title
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Abstract
This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies on the predictability of cryptocurrency returns for alternative high frequency intervals. Accordingly, efficiency demonstrates a U-shaped pattern with respect to alternative sampling frequencies, hence there exists an optimal intraday sampling frequency that maximizes the market efficiency. These findings have important implications for portfolio analysis, risk management, regulations and administrative rulings in the cryptocurrency markets.