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• W4315642865 abstract "The cryptocurrency literature on technical analysis has largely ignored drivers of technical analysis return adjusted by transaction costs (i.e., adjusted returns). To that end, we propose a Heterogeneous Autoregressive Distributed Lag Model of Returns (HARDL-R) to examine the impact from EPU, VIX, and SP500 returns to adjusted returns. We provide evidence that these three drivers matter during bubble periods compared to non-bubble periods. When not differentiating bubble periods, we find that VIX is the only driver influencing the dynamics of adjusted returns from 2016 to 2021. These findings remain relatively stable after controlling for the volume of transactions." @default.
• W4315642865 created "2023-01-12" @default.
• W4315642865 creator A5054010240 @default.
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• W4315642865 date "2023-03-01" @default.
• W4315642865 modified "2023-10-16" @default.
• W4315642865 title "On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach" @default.
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• W4315642865 doi "https://doi.org/10.1016/j.irfa.2023.102516" @default.
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