Abstract
This paper investigates the cross predictability of intraday returns across 22 major cryptocurrencies. In contrast to the well-documented positive lead-lag effect in the equity market, we find a significantly negative lead-lag effect (seesaw effect'') in the cryptocurrency market: The five largest cryptocurrencies (Bitcoin, Ripple, Ethereum, Litecoin, and EOScoin) negatively predict the returns of other but small do not predict the large coins. Trading strategies that exploit the cross predictability yield highly significant profits. Further analysis suggests that the flight to hot (large) coins and flee from cold (large) coins jointly drive the seesaw effect.
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