Abstract:

We investigate the profitability of cross-sectional and time-series momentum investment strategies using an extensive sample of over 3,100 cryptocurrencies traded in a continuous market over the period April 2013 to August 2018. We find that there is a strong cross-sectional momentum effect with one day to two week returns. We also document strong one day to one month time-series momentum returns for cryptocurrencies, but this time-series momentum seems to have disappeared after the introduction of bitcoin futures. This is an important out-of-sample test for the cross-sectional and time-series momentum effects reported in the equity and currency literature.