On the day-of-the-week effects of Bitcoin markets: international evidence

Ma, Donglian; Tanizaki, Hisashi

doi:10.1108/cfri-12-2018-0158

Cited by 13 publications

(7 citation statements)

References 29 publications

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“…Though many studies explored the weekend effect, none of them have produced satisfactory results. Investor sentiment diverges across the days of the week since mood is a deviating factor that affects sentiment (Ma and Tanizaki, 2019). In capital markets, the existence of pessimism and optimism (which is not related to the fundamentals) -generally called sentiment -provides clear predictions of cross-sectional return.…”

Section: Introductionmentioning

confidence: 99%

Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

et al. 2020

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This paper uncovers a new finding of sustainable cross-sectional variations in stock returns explained by mood fluctuations across the days of the week. Long/short leg of illiquid anomaly returns are extensively related to the days of the week, and the magnitude of excess returns is also striking [Long leg refers to portfolio deciles that earn higher excess returns. Historical evidence suggests that more illiquid stock earn higher excess returns (Amihud, 2002; Corwin and Schultz, 2012)]. The speculative leg of illiquid anomalies is the long leg (Birru, 2018) [The speculative leg falls into the long leg of anomaly because more illiquid stocks are sensitive to investor sentiment (Birru, 2018)]. Therefore, the long (speculative) leg experiences more sustainable high returns on Friday than the short (non-speculative) leg. At the same time, relatively higher long (speculative) leg returns were witnessed on Friday than Monday with a greater magnitude difference. These cross-sectional variations in illiquid stocks on specific days are consistent with the explanation of the limit to arbitrage. The observed variations in cross-sectional returns are sustained and consistent with plenty of evidence from psychology research regarding the low mood on Monday and high mood on Friday.

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Section: Introductionmentioning

confidence: 99%

Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

et al. 2020

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“…Recently, there are few studies which have evaluated the calendar anomalies with particular focus on the DoW (see Table 1) in the Bitcoin and other cryptocurrency markets – which operate in relatively different set-ups. Ma and Tanizaki (2019a) detected positive Sunday effect in the Bitcoin returns when priced in the Australian dollar. However, Caporale and Plastun (2019) documented no DoW anomalies for most of the cryptocurrencies (Litecoin, Ripple and Dash).…”

Section: Literature Reviewmentioning

confidence: 93%

“…To examine calendar effects this study has adopted both parametric (i.e., OLS with GARCH(1, 1)) and non-parametric (Kruskal–Wallis test) approaches widely followed in similar literature and also implemented in recent studies (see, for instance, Urquhart and McGroarty, 2014; Kumar, 2016; Kumar, 2018; Xiong et al , 2019; Ma and Tanizaki, 2019a).…”

Section: Methodsmentioning

confidence: 99%

Adaptive calendar effects and volume of extra returns in the cryptocurrency market

Khuntia

Pattanayak

2021

IJOEM

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PurposeThis study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) framework. Another agendum of this study is to investigate the quantum of extra returns which may result from the presence of calendar effects.Design/methodology/approachThe present study considers both parametric and non-parametric approaches to verify calendar effects empirically. Specifically, this study has implemented Generalised Autoregressive Conditional Heteroscedasticity (1, 1) and Kruskal–Wallis tests in the rolling window approach to reveal adaptive patterns of calendar effects. Additionally, the present study has used the implied trading strategy to evaluate the volume of excess returns resulted from calendar effects than buy-and-hold (BH) strategy.FindingsThe overall results of the current study exhibit that calendar effect in the cryptocurrency market is dynamic rather than static which indicates the calendar effect is a time-varying phenomenon. Moreover, this study also confirmed that ITS is not suitable to obtain extra returns despite the existence of calendar effects.Research limitations/implicationsThe present study has covered some broad aspects of calendar anomalies in the cryptocurrency market, keeping aside certain other limitations which need to be addressed in the following dimensions. Future studies may aim at addressing issues like, Turn-of-the-Year effect, Halloween effect, weather effect, and Month-of-the-Year effects, and try to explore the reasons of presence of dynamic patterns of calendar effects.Practical implicationsThe significant implication of this study is that it alerts investors about market return predictability due to calendar patterns or effects in different periods. It also suggests the period in which the ITS can perform better than the BH strategy.Originality/valueIt is the first study in the cryptocurrency literature which has adopted the AMH framework to verify adaptive calendar effects or anomalies. Furthermore, this study, instead of a mere examination of the presence of calendar effects, has evaluated the potential of calendar effects to produce extra returns through trading strategies.

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“…However, there is potentially significant evidence for the existence of Monday and Friday effects exclusively in the volatility of BTC. Ma and Tanizaki (2019b) conducted a study on the DoW effect on BTC and found that the Monday effect is significant. Additionally, Wednesdays exhibit low average return levels.…”

Section: Literature Reviewmentioning

confidence: 99%

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

Kahraman,

Kök

2024

MAKU IIBFD

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This study examines the day-of-the-week (DoW) and month-of-the-year (MoY) effects in the cryptocurrency market, with a focus on Bitcoin (BTC) and Ethereum (ETH). Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA(1,0)-EGARCH(1,1) and ARMA(1,0)-GARCH(1,1) for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH don’t exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

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On the day-of-the-week effects of Bitcoin markets: international evidence

Cited by 13 publications

References 29 publications

Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

Adaptive calendar effects and volume of extra returns in the cryptocurrency market

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

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