Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of adaptive market hypothesis

Martín, Carmen

doi:10.1080/02102412.2022.2131239

Cited by 4 publications

(1 citation statement)

References 98 publications

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“…Returns on Saturday also showed a discernible change. Cryptocurrencies generated favorable returns to the onset of the COVID-19 pandemic, which is consistent with findings from Ma & Tanizaki [48], Hamurcu [49], Lopez Martin [50], and Naz et al [7]. Except for Tether, the majority of coins reversed this trend after COVID-19.…”

Section: Empirical Evidencesupporting

confidence: 87%

A Forecasting Model Approach: Investigating Calendar Anomalies and Volatility Patterns in the Cryptocurrency Market

Sahu,

Ramírez,

Kim

2024

Preprint

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This paper investigates calendar anomalies, volatility patterns, and the best forecasting model for predicting volatility in the cryptocurrency market, focusing on ten prominent cryptocurrencies: Binance USD, Bitcoin, Binance Coin, Cardano, Dogecoin, Ethereum, Solana, Tether, USD Coin, and Ripple. Spanning from January 2016 to December 2023, the study utilizes sophisticated statistical models such as GARCH (p,q), EGARCH (p,q), and GJR-GARCH (p,q) to analyze precise changes in market dynamics and the impact of day-of-week fluctuations on cryptocurrency returns. Empirical evidence reveals significant findings regarding the persistence of volatility, positive and negative news effects on volatility, and day-of-week effects on cryptocurrency returns. Post-COVID-19, Sunday emerges as the least volatile day for cryptocurrencies, while Thursdays and Tuesdays exhibit greater volatility. Binance, Ethereum, Dogecoin, and Tether show anomalies where returns on Tuesday and Thursday significantly differed from those on other days of the week. Many other currencies, like the USD coin, Cardano, and Ripple, show anomalies only in the pre-COVID-19 period. The findings highlight the best forecast model for volatility for each top cryptocurrency, offering practical implications for investors, traders, regulators, and policymakers. These insights emphasize the importance of understanding and addressing calendar anomalies in the cryptocurrency market for informed decision-making, trading strategies, regulatory frameworks, and market stability.

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Section: Empirical Evidencesupporting

confidence: 87%

A Forecasting Model Approach: Investigating Calendar Anomalies and Volatility Patterns in the Cryptocurrency Market

Sahu,

Ramírez,

Kim

2024

Preprint

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The impact of cryptocurrency heists on Bitcoin's market efficiency

Li,

Manahov,

Ashton

2024

Int. J Fin Econ

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Within the adaptive market hypothesis (AMH) framework, this study explores the dynamic impact of cryptocurrency heists on Bitcoin's market efficiency. By analysing Bitcoin's one‐minute price data, we calculate permutation entropy to assess market disorder and employ the complexity‐entropy causality plane to quantify structural changes in the market. The analysis focuses on the market efficiency changes the day before, the day of, and the day after a heist, revealing that heists significantly disrupt market efficiency. Specifically, on the day of and following a heist, we observe a marked decrease in permutation entropy alongside a significant increase in complexity, indicating a notable decline in market efficiency. Further analysis shows that when a heist targets a specific token, this token draws investor attention, causing a less severe drop in Bitcoin's market efficiency, while the affected token's market efficiency drops more dramatically. These findings suggest that different token markets react differently to heists, and investors should consider adjusting their strategies to respond to these changes. For policymakers, the results highlight the critical need to enhance market stability and security through informed policy measures to mitigate the impact of such disruptive events.

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Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

Özmerdivanlı

2024

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi

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Modern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların birçoğu, yatırımcıların bazı dönemlerde normalin üzerinde getiri elde ettiğini gösteren bulgular ortaya koymaktadır. Etkin Piyasa Hipotezi ile çelişen ve bazı dönemlerde elde edilen getirilerin ve katlanılan riskin diğer dönemlere göre farklılaştığını ifade eden etkiler takvim anomalileri olarak tanımlanmaktadır. Takvim anomalileri içerisinde genellikle günlere, aylara ve yıllara göre farklılaşan etkiler incelenmektedir. Bu çalışmada Bitcoin ve Ethereum kripto para piyasasında takvim anomalilerinin incelenmesi amaçlanmıştır. Bu kapsamda haftanın günü, yılın ayı ve yıl dönümü anomalileri kukla değişken ile temsil edilerek Bitcoin ve Ethereum için belirlenen TGARCH(1,1) ve EGARCH(2,2) modeline ilave edilmiş ve Bitcoin için 18.07.2010 – 17.05.2023 dönemini, Ethereum için 10.03.2016 – 17.05.2023 dönemini kapsayan günlük veriler üzerinden analiz yapılmıştır. Çalışma sonucunda elde edilen bulgular, Bitcoin ve Ethereum piyasasında haftanın günü ve yılın ayı anomalilerinin bulunduğunu göstermektedir.

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Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of adaptive market hypothesis

Cited by 4 publications

References 98 publications

A Forecasting Model Approach: Investigating Calendar Anomalies and Volatility Patterns in the Cryptocurrency Market

A Forecasting Model Approach: Investigating Calendar Anomalies and Volatility Patterns in the Cryptocurrency Market

The impact of cryptocurrency heists on Bitcoin's market efficiency

Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

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