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The role of media coverage in the bubble formation : evidence from the Bitcoin market

Li, Yi; Zhang, Wei; Urquhart, Andrew; Wang, Pengfei - In: Journal of international financial markets, … 80 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013533174

MAX Momentum in Cryptocurrency Markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - 2021

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect, due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other...

Persistent link: https://www.econbiz.de/10013228841

Investor attention and the pricing of cryptocurrency market

Zhang, Wei; Wang, Pengfei - In: Evolutionary and institutional economics review 17 (2020) 2, pp. 445-468

Persistent link: https://www.econbiz.de/10012621303

How does economic policy uncertainty affect the bitcoin market?

Wang, Pengfei; Li, Xiao; Shen, Dehua; Zhang, Wei - In: Research in international business and finance 53 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012549178

Is idiosyncratic volatility priced in cryptocurrency markets?

Zhang, Wei; Li, Yi - In: Research in international business and finance 54 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012550051

Does size matter in the cryptocurrency market?

Li, Yi; Zhang, Wei; Xiong, Xiong; Wang, Pengfei - In: Applied economics letters 27 (2020) 14, pp. 1141-1149

Persistent link: https://www.econbiz.de/10012267073

Trading volume and return volatility of Bitcoin market : evidence for the sequential information arrival hypothesis

Wang, Pengfei; Zhang, Wei; Li, Xiao; Shen, Dehua - In: Journal of economic interaction and coordination : JEIC 14 (2019) 2, pp. 377-418

Persistent link: https://www.econbiz.de/10012111563

Some stylized facts of the cryptocurrency market

Zhang, Wei; Wang, Pengfei; Li, Xiao; Shen, Dehua - In: Applied economics 50 (2018) 55, pp. 5950-5965

Persistent link: https://www.econbiz.de/10012062951

MAX momentum in cryptocurrency markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - In: International review of financial analysis 77 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012806335

Bitcoin market reactions to large price swings of international stock markets

Jia, Boxiang; Shen, Dehua; Zhang, Wei - In: International review of economics & finance : IREF 90 (2024), pp. 72-88

Persistent link: https://www.econbiz.de/10014446888