A broad analysis of short-term overreactions in the market for cryptocurrencies

PurposeThe purpose of this study is to analyze market inefficiencies in the market for cryptocurrencies by providing a comprehensive analysis of short-term (over)reactions that follow significant price changes of such currencies.Design/methodology/approachThis study identifies and analyzes overreactions and mispricing in markets for cryptocurrencies by applying a broad set of thresholds that depend on market-specific dynamics and volatilities. This study also analyzes the returns on days following abnormal returns and identifies significant differences from normal returns using the t-test and the Mann–Whitney U-test. The researchers further complement the literature by using end-of-the-day returns in addition to high-low returns. Additionally, this study considers a broad sample of 50 cryptocurrencies for an expanded time span (2015–2020) that includes the big currencies as well as smaller currencies.FindingsFindings detect the existence of overreactions and, thus, market inefficiencies in crypto markets. The findings for different methodological approaches are similar, which underpins the robustness of the findings. By considering a broad sample that includes small and big currencies, we can show the existence of a market size effect. By considering a broad set of thresholds, the authors further found evidence for a magnitude effect, which means that higher initial abnormal returns are related to higher inefficiencies.Practical implicationsThis paper has practical implications. Market inefficiencies were detected, which can be used in practical trading to obtain excess returns. In fact, methodological approach of this study and its results can be used to derive a strategy for trading in cryptocurrencies that can be easily implemented. Based on the study’s findings, the authors can expect positive access returns by applying this trading strategy.Originality/valueThe authors complement the literature on market inefficiencies and mispricing in crypto markets by analyzing price patterns after initial abnormal returns. Researchers contribute by applying different methodological approaches in addition to the approaches used so far, by considering a set of different thresholds and by applying a much broader data set that enables the study to analyze additional aspects.

Is There a Differential Market Size Effect in U.S. Free Agent Signings? Evidence From Localized Sentiment Trading

We consider three professional sports and examine if there is a disparate return response to free agent signings with small versus big market franchises. After controlling for player ability, contract characteristics, and negotiation conditions, we find evidence of a more pronounced negative small market effect in response to both basketball and baseball signings, and a more pronounced negative big market effect in response to football signings. Our results suggest that differential market size sensitivities are complex, reflecting the influence of factors such as player ability and compensation in ways that are highly nuanced and unique to each league.

Revisiting the Twin-Hub Trade Pattern in East Asia

Transport advantage, assembly hub under global value chains, technology advantage, and home-market effect are the four main factors contributing to the emergence of trade hubs in East Asia. Using a region-specific trade “hub-ness” measure, we examine the evolution of trade hubs in the East Asia. A China-Japan twin-hub pattern was found in the 1990s, but the twin hub began to divide in the beginning of the 21st century because of a rising China and declining Japan. We also show that ASEAN as an integrated region may lead to the emergence of another trade hub in East Asia, because of the enlarged ASEAN home-market-size effect, for the highly fragmented automatic data processing industry.

Gains from Trade Liberalization between Heterogeneous Countries: Implications for the Korea–Japan FTA

We study the welfare implications of a bilateral free trade agreement (FTA). The model is based on the recent trade literature that considers search and matching frictions in the labor market. We extend the model by incorporating country-level heterogeneity in terms of production technology, population, and productivity endowment. By calibrating the model to Japanese and Korean data in order to assess the expected outcome of the potential Korea–Japan FTA, we find that when the two countries have the same population size, Japan receives greater benefits from the FTA because its relatively more capital-intensive production allows for quicker output adjustment upon trade liberalization. When we take into account that Japan's population is 2.5 times that of Korea, however, the results show that Korea enjoys a greater surplus because of the market size effect.

The state of agri-food export of the Visegrad countries in EU markets

The agri-food export of the Visegrad countries has increased significantly since 2004. Since their EU accession the agri-food export of the V4 countries did not only grow - disregarding the setback in 2009 - but the EU has become their dominating market. The objective of this paper is to analyse the market position of the agri-food products of the Visegrad countries in the EU market. On the basis of the Constant Market Share (CMS) model it can be stated that in the case of each and every country the significant positive competitiveness effect, the value of which was between 58% and 70%, triggered the expansion of the agri-food export. The positive market size effect also played an important role in the growth of the export. For the Visegrad countries this meant 30-40%. However, the structural effect was negligible for each country (-1-4%). This means that the export structure of the Visegrad countries could not adjust properly to the changes of the import structure of the EU markets. On the basis of quality competitiveness the agri-food product groups of the V4 countries - with very few exceptions - have increased their market share in EU markets, which was primarily attainable because of the rising export prices. However, some achieved an increased market share with decreasing export prices. .

Coping with the Standards Regime: Analyzing Export Competitiveness of Indian Seafood Industry

<p>In this research paper a Constant Market Share (CMS) approach was employed to learn export performance dynamics of Indian seafood (shrimps and cephalopods) in the major export destinations (EU, USA and select Asian countries), which accounts for a sizeable market for Indian seafood. The Constant Market Share model was used to disintegrate the growth in exports of seafood into market size effect, market composition effect and competitiveness effect. The analysis was performed for the seafood exports for a span of 12 years from the year 1996 to the year 2007, the period during which India had to face severe challenges from evolving food safety regulations in the EU and USA. The analysis was extended to account for the competitiveness at dis-aggregated commodity level. In the present study we observed enhanced competitiveness in the case of cephalopods while shrimp exports were less competitive. To a certain extent it shows that trade facilitating as well as trade restricting effects can coexist as an impact of strict food safety regulations.</p>