Does size matter in the cryptocurrency market?. Issue 14 (15th August 2020)

• Record Type: Journal Article
• Authors: Li, Yi; Zhang, Wei; Xiong, Xiong; Wang, Pengfei
• Is Part Of: Applied economics letters. Volume 27:Issue 14(2020)
• Page Start: 1141
• Page End: 1149
• Publication Date: 2020-08-15
• Subjects: Size effect -- cryptocurrency -- asset pricing -- liquidity -- anomalies; G12 -- G14 -- G15; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2019.1673298
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: This paper examines the size effect in the cryptocurrency market with a sample of more than 1800 cryptocurrencies over the period from January 2014 to May 2019. We find that cryptocurrencies with small market value tend to perform better in the future, which challenges the Efficient Market Hypothesis. The size effect is stable over the sample period and robust to the sample size. The prior returns and liquidity also have an impact on the size effect. In addition, our findings provide practical implications for cryptocurrency investors.