数字货币市场的动量效应及反转效应研究

本文采用2017 年2 月至2019 年11 月交易量最活跃的50 支数字货币的日度数据，考察了数字货币市场是否存在动量和反转效应，进一步分析了投资者情绪与动量效应、反转效应的关系。实证结果表明：（1）数字货币市场在1 个月内存在显著的短期动量效应，持有期越长，动量效应越弱；（2）在形成期和持有期超过2 个月时，数字货币市场呈现中期反转效应；（3）投资者情绪较高时市场动量效应更显著，投资者情绪较低时市场存在短期反转效应。之前的研究往往采用月度数据，更注重中长期动量效应，本文采用日度数据给出了短期动量效应和中期反转效应的实证证据，说明数字货币市场虽然在长期内可能是有效的，但在短期内存在无效性。

Momentum and Reversal of Cryptocurrencies Markets

Using the daily data of 50 Cryptocurrencies with the most active trading volume from February 2017 to November 2019, this paper examines whether there is momentum and reversal in the cryptocurrencies markets, and further analyzes the relationship between investor sentiment, momentum and reversal. The empirical results show that: firstly, there is a significant short-term momentum in the cryptocurrencies market within one month. The longer the holding period is, the weaker the momentum is. Secondly, when the forming period and holding period are more than two months, the cryptocurrencies market exhibits a mid-term reversal. Lastly, there is a more pronounced momentum when investor sentiment is high, and there is a short term reversal when investor sentiment is low. Different from using monthly data in previous studies, which pay more attention to the mid-term and long-term momentum, this paper uses daily data to present empirical evidence of the short-term momentum and the mid-term reversal, which shows that the cryptocurrencies markets are inefficient in the short term though they are efficient in the long run.