There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using...

We examine the relation between cryptocurrency returns and two blockchain characteristics, computing power and network size. We show that cryptocurrency prices are cointegrated with computing power and network. Further, cryptocurrency returns have positive and significant risk exposures to...

This paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets are efficient, and how their efficiency changes over time....

Despite the explosive growth of cryptocurrencies, whether the underlying technology adds significant value and will thus sustain broad adoption remains unclear. Using proprietary data on firm-level blockchain records from 2015 to 2021, we conduct the first large-sample study linking blockchains...

In this paper, we study the relationship between attention to cryptocurrency and investor reactions to earnings news. In recent years, the capital market witnessed cryptocurrency mania. Because investors have limited attention, we hypothesize that attention to cryptocurrency distracts investor...

This study is the first attempt for detecting informed trading on Ethereum blockchain. We collect detailed trading data of overs 2.7 million Ethereum addresses from their interaction with decentralized exchange on Ethereum blockchain. We first analyze the characteristics of both on-chain...

We systematically re-examine the efficacy of trend-based technical indicators in predicting cryptocurrency market returns at daily, weekly, and monthly horizons. It shows that the price-based signals are more effective than the volume-based signals in the short horizon (daily and weekly), while...