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

Autori
Bošnjak, Mile ; Novak, Ivan ; Cicvarić, C., Branimir

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), ostalo

Izvornik
TRADE PERSPECTIVES 2020 The interdependence of COVID-19 pandemic and international trade/Proceedings of The International Scientific Conference Zagreb, Croatia, 26th and 27th November 2020 / Bakovic, Tomislav ; Naletina, Dora ; Petljak, Kristina - Zagreb, 2020, 111-122

Skup
Trade Perspectives 2020: The interdependence of COVID-19 pandemic and international trade

Mjesto i datum
Zagreb, Hrvatska, 26.11.2020. - 27.11.2020

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
cryptocurrencies ; dependence structure ; market efficiency ; quantile dependence

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA