{"id":"https://openalex.org/W4394988660","doi":"https://doi.org/10.1016/j.jedc.2024.104863","title":"Cross-cryptocurrency return predictability","display_name":"Cross-cryptocurrency return predictability","publication_year":2024,"publication_date":"2024-04-21","ids":{"openalex":"https://openalex.org/W4394988660","doi":"https://doi.org/10.1016/j.jedc.2024.104863"},"language":"en","primary_location":{"id":"doi:10.1016/j.jedc.2024.104863","doi":"https://doi.org/10.1016/j.jedc.2024.104863","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jedc.2024.104863","pdf_url":null,"source":{"id":"https://openalex.org/S44585919","display_name":"Journal of Economic Dynamics and Control","issn_l":"0165-1889","issn":["0165-1889","1879-1743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Economic Dynamics and Control","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3974583","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101566766","display_name":"Li Guo","orcid":"https://orcid.org/0000-0002-1275-4884","observed_orcids":["https://orcid.org/0000-0002-1275-4884"]},"institutions":[{"id":"https://openalex.org/I24943067","display_name":"Fudan University","ror":"https://ror.org/013q1eq08","country_code":"CN","type":"education","lineage":["https://openalex.org/I24943067"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Li Guo","raw_affiliation_strings":["School of Economics, Fudan University, Shanghai Institute of International Finance and Economics, 600 Guoquan Road, Shanghai 200433, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics, Fudan University, Shanghai Institute of International Finance and Economics, 600 Guoquan Road, Shanghai 200433, China","institution_ids":["https://openalex.org/I24943067"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5031660192","display_name":"Bo Sang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I36234482","display_name":"University of Bristol","ror":"https://ror.org/0524sp257","country_code":"GB","type":"education","lineage":["https://openalex.org/I36234482"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Bo Sang","raw_affiliation_strings":["School of Business, University of Bristol, 15-19 Tyndall's Park Rd, Bristol BS8 1PQ, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business, University of Bristol, 15-19 Tyndall's Park Rd, Bristol BS8 1PQ, United Kingdom","institution_ids":["https://openalex.org/I36234482"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069393408","display_name":"Jun Tu","orcid":"https://orcid.org/0000-0001-9641-2162","observed_orcids":["https://orcid.org/0000-0001-9641-2162"]},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]},{"id":"https://openalex.org/I79891267","display_name":"Singapore Management University","ror":"https://ror.org/050qmg959","country_code":"SG","type":"education","lineage":["https://openalex.org/I79891267"]}],"countries":["CN","SG"],"is_corresponding":true,"raw_author_name":"Jun Tu","raw_affiliation_strings":["Lee Kong Chian School of Business, Singapore Management University, Singapore","SJTU-BOC Institute of Technology and Finance, Antai College of Economics and Management, Shanghai Jiao Tong University"],"raw_orcid":"https://orcid.org/0000-0001-9641-2162","affiliations":[{"raw_affiliation_string":"Lee Kong Chian School of Business, Singapore Management University, Singapore","institution_ids":["https://openalex.org/I79891267"]},{"raw_affiliation_string":"SJTU-BOC Institute of Technology and Finance, Antai College of Economics and Management, Shanghai Jiao Tong University","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100445311","display_name":"Yu Wang","orcid":"https://orcid.org/0000-0002-9807-2293","observed_orcids":["https://orcid.org/0000-0002-9807-2293","https://orcid.org/0000-0002-9173-1209"]},"institutions":[{"id":"https://openalex.org/I181679659","display_name":"Shanghai University of Finance and Economics","ror":"https://ror.org/00wtvfq62","country_code":"CN","type":"education","lineage":["https://openalex.org/I181679659"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yu Wang","raw_affiliation_strings":["School of Finance, Shanghai University of Finance and Economics, 777 Guoding Road, Shanghai 200433, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Finance, Shanghai University of Finance and Economics, 777 Guoding Road, Shanghai 200433, China","institution_ids":["https://openalex.org/I181679659"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5069393408"],"corresponding_institution_ids":["https://openalex.org/I183067930","https://openalex.org/I79891267"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":4.4979,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.9455743,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"163","issue":null,"first_page":"104863","last_page":"104863"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9545999765396118,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9545999765396118,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.019899999722838402,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.014299999922513962,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency-returns","display_name":"cryptocurrency returns","score":0.6909999847412109},{"id":"https://openalex.org/keywords/return-predictability","display_name":"return predictability","score":0.8379999995231628},{"id":"https://openalex.org/keywords/long-short-portfolios","display_name":"long-short portfolios","score":0.6620000004768372},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.6050000190734863},{"id":"https://openalex.org/keywords/common-shocks","display_name":"common shocks","score":0.703000009059906},{"id":"https://openalex.org/keywords/information-dissemination","display_name":"information dissemination","score":0.7850000262260437},{"id":"https://openalex.org/keywords/investor-attention","display_name":"investor attention","score":0.7990000247955322},{"id":"https://openalex.org/keywords/binance","display_name":"Binance","score":0.6110000014305115}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.961518406867981},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8683992624282837},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7272908687591553},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6814336776733398},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6211886405944824},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.5326416492462158},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.47486042976379395},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.41355717182159424},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39368754625320435},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2418055236339569},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.21173197031021118},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16006845235824585},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.12154331803321838},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1016/j.jedc.2024.104863","doi":"https://doi.org/10.1016/j.jedc.2024.104863","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jedc.2024.104863","pdf_url":null,"source":{"id":"https://openalex.org/S44585919","display_name":"Journal of Economic Dynamics and Control","issn_l":"0165-1889","issn":["0165-1889","1879-1743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Economic Dynamics and Control","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.3974583","doi":"https://doi.org/10.2139/ssrn.3974583","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3974583","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:research-information.bris.ac.uk:openaire/37d99f40-3d1b-471f-b823-db0973111234","doi":null,"is_oa":true,"landing_page_url":"https://research-information.bris.ac.uk/en/publications/37d99f40-3d1b-471f-b823-db0973111234","pdf_url":null,"source":{"id":"https://openalex.org/S4306400895","display_name":"Bristol Research (University of Bristol)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I36234482","host_organization_name":"University of Bristol","host_organization_lineage":["https://openalex.org/I36234482"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Guo, L, Sang, B, Tu, J & Wang, Y 2024, 'Cross-cryptocurrency return predictability', Journal of Economic Dynamics and Control, vol. 163, 104863. https://doi.org/10.1016/j.jedc.2024.104863","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:research-information.bris.ac.uk:openaire_cris_publications/37d99f40-3d1b-471f-b823-db0973111234","doi":null,"is_oa":true,"landing_page_url":"https://research-information.bris.ac.uk/en/publications/37d99f40-3d1b-471f-b823-db0973111234","pdf_url":null,"source":{"id":"https://openalex.org/S7407055359","display_name":"Explore Bristol Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Guo, L, Sang, B, Tu, J & Wang, Y 2024, 'Cross-cryptocurrency return predictability', Journal of Economic Dynamics and Control, vol. 163, 104863. https://doi.org/10.1016/j.jedc.2024.104863","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:ink.library.smu.edu.sg:lkcsb_research-7900","doi":null,"is_oa":false,"landing_page_url":"https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=7900&amp;amp;context=lkcsb_research","pdf_url":null,"source":{"id":"https://openalex.org/S4306401925","display_name":"Singapore Management University Institutional Knowledge (InK) (Singapore Management University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I79891267","host_organization_name":"Singapore Management University","host_organization_lineage":["https://openalex.org/I79891267"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://doi.org/10.2139/ssrn.3974583","raw_type":"Working Paper"},{"id":"pmh:oai:RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0165188924000551","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3974583","doi":"https://doi.org/10.2139/ssrn.3974583","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3974583","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320328656","display_name":"Singapore Management University","ror":"https://ror.org/050qmg959"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":77,"referenced_works":["https://openalex.org/W116568078","https://openalex.org/W1593748280","https://openalex.org/W1958925377","https://openalex.org/W1963815804","https://openalex.org/W1995698512","https://openalex.org/W1999918735","https://openalex.org/W2020710668","https://openalex.org/W2020925091","https://openalex.org/W2063977782","https://openalex.org/W2080450677","https://openalex.org/W2119676957","https://openalex.org/W2130428347","https://openalex.org/W2131675768","https://openalex.org/W2135046866","https://openalex.org/W2163369381","https://openalex.org/W2164320228","https://openalex.org/W2165429918","https://openalex.org/W2278936033","https://openalex.org/W2319405822","https://openalex.org/W2589485205","https://openalex.org/W2655997960","https://openalex.org/W2758738247","https://openalex.org/W2771030840","https://openalex.org/W2792973870","https://openalex.org/W2808830795","https://openalex.org/W2809373714","https://openalex.org/W2889831223","https://openalex.org/W2890844091","https://openalex.org/W2892285611","https://openalex.org/W2894679048","https://openalex.org/W2898654780","https://openalex.org/W2905582627","https://openalex.org/W2905707131","https://openalex.org/W2909050574","https://openalex.org/W2911266508","https://openalex.org/W2913555449","https://openalex.org/W2922466487","https://openalex.org/W2932187538","https://openalex.org/W2947612469","https://openalex.org/W2952891895","https://openalex.org/W2952996912","https://openalex.org/W2953864174","https://openalex.org/W2964125295","https://openalex.org/W2995858323","https://openalex.org/W3010182446","https://openalex.org/W3018089439","https://openalex.org/W3021611597","https://openalex.org/W3039219598","https://openalex.org/W3045575909","https://openalex.org/W3121266768","https://openalex.org/W3121401171","https://openalex.org/W3121465794","https://openalex.org/W3121894513","https://openalex.org/W3122136669","https://openalex.org/W3122609836","https://openalex.org/W3122636688","https://openalex.org/W3123993840","https://openalex.org/W3124611303","https://openalex.org/W3124616545","https://openalex.org/W3125297504","https://openalex.org/W3125698360","https://openalex.org/W3126136988","https://openalex.org/W3139542328","https://openalex.org/W3155775715","https://openalex.org/W3164067048","https://openalex.org/W3164992569","https://openalex.org/W3179606364","https://openalex.org/W3195370367","https://openalex.org/W4205539948","https://openalex.org/W4243760387","https://openalex.org/W4248175462","https://openalex.org/W4252930024","https://openalex.org/W4285678296","https://openalex.org/W4295681342","https://openalex.org/W4385897291","https://openalex.org/W4387004813","https://openalex.org/W4416283906"],"related_works":["https://openalex.org/W4387004813","https://openalex.org/W3204672914","https://openalex.org/W7166731715","https://openalex.org/W7222903899","https://openalex.org/W7117971688","https://openalex.org/W7140119872","https://openalex.org/W3107313386","https://openalex.org/W4393346646","https://openalex.org/W4281555926","https://openalex.org/W2795679926"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":7},{"year":2025,"cited_by_count":9},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2024-04-22T00:00:00"}
