Advanced search
Publication Cover
Applied Economics Letters Volume 30, 2023 - Issue 12
Submit an article Journal homepage
220
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Underreaction and overreaction in Bitcoin market

Tianquan LiuSchool of Economics, Peking University, Beijing, ChinaORCID Iconhttps://orcid.org/0000-0003-3495-8199View further author information
ORCID Icon,
Yiming WangSchool of Economics, Peking University, Beijing, ChinaView further author information
&
Yu YanSchool of Economics, Peking University, Beijing, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-4058-8489View further author information
ORCID Icon
Pages 1685-1691 | Published online: 29 May 2022

References

  • Asness, C. S., T. J. Moskowitz, and L. H. Pedersen. 2013. “Value and Momentum Everywhere.” The Journal of Finance 68 (3): 929–985. doi:10.1111/jofi.12021.
  • Bariviera, A. F. 2017. “. The Inefficiency of Bitcoin Revisited: A Dynamic Approach.” Economics Letters 161: 1–4. doi:10.1016/j.econlet.2017.09.013.
  • Boguth, O., M. Carlson, A. Fisher, and M. Simutin. 2016. “Horizon Effects in Average Returns: The Role of Slow Information Diffusion.” The Review of Financial Studies 29 (8): 2241–2281. doi:10.1093/rfs/hhw024.
  • Cong, L. W., Y. Li, N. Wang, and I. Goldstein. 2021. “Tokenomics: Dynamic Adoption and Valuation.” The Review of Financial Studies 34 (3): 1105–1155. doi:10.1093/rfs/hhaa089.
  • Feng, W., Y. Wang, and Z. Zhang. 2018. “Can Cryptocurrencies Be a Safe Haven: A Tail Risk Perspective Analysis.” Applied Economics 50 (44): 4745–4762. doi:10.1080/00036846.2018.1466993.
  • Grobys, K., and N. Sapkota. 2019. “Cryptocurrencies and Momentum.” Economics Letters 180: 6–10. doi:10.1016/j.econlet.2019.03.028.
  • Hong, H., and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” The Journal of Finance 54 (6): 2143–2184. doi:10.1111/0022-1082.00184.
  • Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
  • Liu, Y., A. Tsyvinski, and I. Goldstein. 2021. “Risks and Returns of Cryptocurrency .” The Review of Financial Studies 34 (6): 2689–2727. doi:10.1093/rfs/hhaa113.
  • López-Cabarcos, M. Á., A. M. Pérez-Pico, J. Piñeiro-Chousa, and A. Šević. 2021. “Bitcoin Volatility, Stock Market and Investor Sentiment. Are They Connected?” Finance Research Letters 38: 101399. doi:10.1016/j.frl.2019.101399.
  • Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104 (2): 228–250. doi:10.1016/j.jfineco.2011.11.003.
  • Nakagawa, K., and R. Sakemoto. 2021. “Cryptocurrency Network Factors and Gold .” Finance Research Letters 2022 (46): 102375.
  • Schilling, L., and H. Uhlig. 2019. “Some Simple Bitcoin Economics.” Journal of Monetary Economics 106: 16–26. doi:10.1016/j.jmoneco.2019.07.002.
  • Sebastião, H., and P. Godinho. 2020. “Bitcoin Futures: An Effective Tool for Hedging Cryptocurrencies.” Finance Research Letters 33: 101230. doi:10.1016/j.frl.2019.07.003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.