Research Article
Year 2023,
Volume: 21 Issue: 4, 17 - 36, 01.01.2024
Abstract
The cryptocurrency market is so recent and emerging. As done for every financial market, the participants of this market act to beat it by using historical price data. In literature, traditional financial markets, e.g. stock and exchange, are non-effective due to calendar anomaly, by period. This study applied to a comprehensive empirical research including 5 calendar effect anomaly on top 9 cryptocurrencies. Thanks to GARCH model, not returns only but also variances were examined. Generally, cryptocurrencies have weak form and non-efficient market. In detail, every cryptocurrency has at least one calendar anomaly.
References
- Aggarwal, R. and Rivoli, P. (1989) “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets”, The Financial Review, 24(4), 541-550.
- Aharon, D. Y. and Qadan, M. (2019) “Bitcoin and Day‐of‐The‐Week Effect”, Finance Research Letters, 31(C). DOI: 10.1016/j.frl.2018.12.004.
- Ballis, A. and Drakos, K. (2021) “The Explosion in Cryptocurrencies: A Black Hole Analogy”, Financial Innovation, 7(8). https://doi.org/10.1186/s40854-020-00222-0.
- Baur, D. G., Cahill, D., Godfrey, K. and Liu, Z. (2019) “Bitcoin Time-Of-Day, Day-Of-Week And Month-Of-Year Effects in Returns And Trading Volume”, Finance Research Letters, 31, 78-92. https://doi.org/10.1016/j.frl.2019.04.023 Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
- Brooks, C. and Persand, G. (2021) “Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-Of-The-Week Effects”, Applied Economics Letters, 8 (3), 155-158. doi:10.1080/13504850150504504.
- Caporale, G. M. and Plastun, A. (2017) “The Day of the Week Effect in the Crypto Currency Market”, German Institute for Economic Research, 31(C), 1-19.
Year 2023,
Volume: 21 Issue: 4, 17 - 36, 01.01.2024
Abstract
References
- Aggarwal, R. and Rivoli, P. (1989) “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets”, The Financial Review, 24(4), 541-550.
- Aharon, D. Y. and Qadan, M. (2019) “Bitcoin and Day‐of‐The‐Week Effect”, Finance Research Letters, 31(C). DOI: 10.1016/j.frl.2018.12.004.
- Ballis, A. and Drakos, K. (2021) “The Explosion in Cryptocurrencies: A Black Hole Analogy”, Financial Innovation, 7(8). https://doi.org/10.1186/s40854-020-00222-0.
- Baur, D. G., Cahill, D., Godfrey, K. and Liu, Z. (2019) “Bitcoin Time-Of-Day, Day-Of-Week And Month-Of-Year Effects in Returns And Trading Volume”, Finance Research Letters, 31, 78-92. https://doi.org/10.1016/j.frl.2019.04.023 Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
- Brooks, C. and Persand, G. (2021) “Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-Of-The-Week Effects”, Applied Economics Letters, 8 (3), 155-158. doi:10.1080/13504850150504504.
- Caporale, G. M. and Plastun, A. (2017) “The Day of the Week Effect in the Crypto Currency Market”, German Institute for Economic Research, 31(C), 1-19.
There are 6 citations in total.
Details
| Primary Language | English |
|---|---|
| Subjects | Finance |
| Journal Section | Articles |
| Authors | |
| Early Pub Date | December 25, 2023 |
| Publication Date | January 1, 2024 |
| Published in Issue | Year 2023 Volume: 21 Issue: 4 |