Authors Name: 
Pierce Healy
Trinity College Dublin
Award winner

An Investigation into the Momentum Anomaly in the Market for Bitcoin

This paper examines the momentum anomaly with regard to daily returns on the bitcoin market from 23/07/2010 to 06/03/2013. The study represents a test of the efficiency of the market with an emphasis on the role of behavioural factors in explaining the anomaly. A combination of stationarity and autocorrelation tests was used to examine whether bitcoin satisfies the weak form of the Efficient Market Hypothesis. It was concluded that bitcoin returns do not follow a random walk and the time series exhibits predictability. Further analysis of the autocorrelation tests revealed substantial evidence of momentum in daily bitcoin returns in addition to other peculiarities.