Momentum Strategies in Cryptocurrency Markets

Abstract

We study the profitability of momentum strategies in cryptocurrency markets across a broad cross-section of assets. Using data spanning over 200 cryptocurrencies, we document significant momentum effects at daily and weekly horizons. Cross-sectional momentum portfolios generate substantial risk-adjusted returns that are robust to transaction costs and alternative weighting schemes. We further examine the role of liquidity, volatility, and market microstructure in driving these momentum premia.