Cryptocurrency price-based comovement
Year: 2025
Type: article
Abstract: This study shows that returns of cryptocurrencies with similar prices move together. This price-based comovement is independent of comovements caused by other cryptocurrencies' well-known common risk factors including size, momentum, past returns, past trading volume, or market returns. The results are robust to alternative estimation methods and data frequencies. Additional analysis shows that the relationship becomes stronger during periods of high investor sentiment, exhibits a long-run reversal, and holds within a sample of memecoins. These findings support a sentiment-based explanation of return comovement.
Author: Lai T. Hoang
Institution: The University of Western Australia
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,930
OpenAlex ID: W4414520717