engleski

DEPENDENCE STRUCTURE OF RETURNS AND TRADING STRATEGIES ON CRYPTOCURRENCIES MARKET: QUANTILE AUTOREGRESSION APPROACH

This paper follows quantile autorregression approach to examine dependence structure of daily returns for nine cryptocurrencies, namely Neo, Ripple, LiteCoin, Cardano, Zcash, Dash, DogeCoin, Waves and Ethereum. The research results from this paper reject efficient market hypothesis in most of the considered cases, except in the cases of Zcash and Waves. Based on the empirical findings herein, we derived trading strategy for each of the considered cryptocurrencies. The one trading strategy is appropriate for Neo, Ripple, DogeCoin and Ethereum. Investors in LiteCoin and Dash should follow the other trading strategy while investors in Cardano should implement the third. In line with efficient market hypothesis returns on Zcash and Waves were not predictable.

cryptocurrencies ; dependence structure ; market efficiency ; quantile dependence

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