Seasonality and Market Crashes in Indian Stock Markets

Dash, Mihir; Sabharwal, Mohit; Dutta, Anirban

doi:10.2139/ssrn.1785112

Cited by 1 publication

(1 citation statement)

References 23 publications

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“…The literature encompasses various studies on day of the week effect, turn of the month effect, holiday effect and many more in the financial and commodity market. Fields (1931), Rozeff et al (1976), French (1980, Gibbons et al (1981), Brown et al (1983), Smirlock et al (1986), Cadsby et al (1992), Mills et al (1995, Berument et al (2001), Fountas et al (2002, Kiymaz et al (2003), Joshi et al (2005), Marrett et al (2008), Parikh (2009, Silva (2010), Dash et al (2011), Swinkels et al (2012 reported the presence of calendar anomalies in several developed and emerging stock markets. Arora et al (2013), Singal et al (2014), Dangi (2014) analysed the calendar anomalies in commodity markets and they found the presence of anomalies.…”

Section: Introductionmentioning

confidence: 99%

Day of the Week Effect in Cryptocurrencies' Returns and Volatility

Dangi¹

2020

RIJBR

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Calendar anomalies as the seasonal tendencies in stock returns are the signal of irregular behaviour of stock markets. These anomalies have been comprehensively studied in many matured as well as emerging stock markets. But there is lack of exploration of calendar anomalies in the cryptocurrency market. So, the present treatise is an attempt to fill this lacuna by studying day of the week effect on cryptocurrencies' returns and volatility. This study is based on the prices of eight cryptocurrencies (viz. Bitcoin, EOS, Ethereum, Bitcoin Cash, Litecoin, Tether, XRP and Stellar) for a period starting from July 2017 and up to March 2020. The series of daily and day-wise returns were initially studied for stationarity using Ng-Perron tests and augmented Dickey-Fuller test. The results from these tests confirmed that the cryptocurrencies' return series are stationary. The day of the week effect on cryptocurrencies returns was studied by introducing the dummies for each day of the week in the ordinary least square regression equation. The residuals from the ordinary least square regression equation were tested for ARCH effect using Engle's ARCH test. The results from the test confirmed the presence of ARCH effect in all series. The GARCH (1,1) model and PARCH model were further applied to account for ARCH effect and these models confirmed the presence of the day of the week effect in all the cryptocurrencies' returns and volatility except for day of week effect in Bitcoin and Tether returns. So, the significant day of the week effect was present in all cryptocurrencies' returns and volatility but the significant day of the week effect was absent in Bitcoin's returns and Tether's returns. These findings of significant day effect may help the existing and potential investors in taking investment decision in contemporary scenario of no ban in cryptocurrency market in India.

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Section: Introductionmentioning

confidence: 99%

Day of the Week Effect in Cryptocurrencies' Returns and Volatility

Dangi¹

2020

RIJBR

View full text Add to dashboard Cite

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Seasonality and Market Crashes in Indian Stock Markets

Cited by 1 publication

References 23 publications

Day of the Week Effect in Cryptocurrencies' Returns and Volatility

Day of the Week Effect in Cryptocurrencies' Returns and Volatility

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