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- W4313528585 abstract "Since the formulation of the Efficient Market Hypothesis, countless studies have been developed that try to either prove or refute it. Event studies, analysing the impact of different events on asset prices, are one of the most important research fields but there is a lack of evidence on cryptocurrencies. For that reason, we analyse the existence of over- and under- reaction effects on Bitcoin after hourly price shocks defined by filter sizes. We also do this using three alternative approaches. Our results show clear evidence of overreaction after negative shocks. We also observe that these overreactions tend to be greater as more hours pass after the event, with those that occur between 6 and 24 hours after the event being especially important. These results have important economic implications because they show that investors would be able to develop a profitable trading strategy simply by focusing on investing after negative shocks." @default.
- W4313528585 created "2023-01-06" @default.
- W4313528585 creator A5014944059 @default.
- W4313528585 creator A5074047990 @default.
- W4313528585 date "2022-12-28" @default.
- W4313528585 modified "2023-09-25" @default.
- W4313528585 title "Intraday Bitcoin price shocks: when bad news is good news" @default.
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- W4313528585 doi "https://doi.org/10.1080/15140326.2022.2151253" @default.
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