The day-of-the-week effect on Bitcoin return and volatility

Ma, Donglian; Tanizaki, Hisashi

doi:10.1016/j.ribaf.2019.02.003

Cited by 58 publications

(37 citation statements)

References 38 publications

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“…Moreover, contrary to other studies (Ma and Tanizaki, 2019;Kinateder and Papavassiliou, 2019), we show strong evidence of Bitcoin's leverage effect, as indicated by the statistically significant θ parameter. This is a novel result and may reflect the high uncertainty surrounding this new market as opposed to more established financial markets, which makes investors more sensitive to negative news than to positive ones.…”

Section: Resultscontrasting

confidence: 99%

“…Caporale and Plastun (2019) examine the day-of-the-week effect in Bitcoin, Litecoin, Ripple and Dash, finding evidence of this anomaly only in the case of Bitcoin. Ma and Tanizaki (2019) find that the weekly seasonality varies with the sample period and that Mondays and Thursdays are generally associated with higher volatilities. Kinateder and Papavassiliou (2019) shows evidence of a Wednesday effect in mean returns.…”

Section: Day-of-the-week Effectmentioning

confidence: 84%

“…Two related topics have emerged in the literature: (a) Bitcoin's diversification potential (Liu, 2018;Platanakis and Urquhart, 2019;Aslanidis et al, 2019); (b) daily seasonality in Bitcoin markets (Mbanga, 2019;Ma and Tanizaki, 2019;Caporale and Plastun, 2019;Aharon and Qadan, 2019). Considering the growing interest of the financial industry to provide cryptocurrency related products, such as exchange traded funds, mutual or hybrid funds, we consider that it is relevant to address both issues together.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

2020

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This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present in Bitcoin. Mondays are associated with higher Bitcoin returns, while Wednesdays with higher Bitcoin volatility. As opposed to previous literature, our results indicate strong evidence of Bitcoin's leverage effect. Moreover, we show that daily correlations between Bitcoin and traditional assets are higher at the beginning of the week, while the volatility of these correlations decreases over the week. Our results offer interesting insights in terms of investment and portfolio diversification, that can be applied to the analysis of systematic risk asset allocation and hedging.

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Section: Resultscontrasting

confidence: 99%

Section: Day-of-the-week Effectmentioning

confidence: 84%

Section: Introductionmentioning

confidence: 99%

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Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

2020

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“…The first column specifies the asset being analysed; the second column identifies the type of the financial market; the third, the fourth, the fifth and the sixth columns show the average daily price amplitude estimates for 2014, 2015, 2016 and 2017, respectively; the seventh column shows average daily price amplitude estimates over the period [2014][2015][2016][2017] intraday patterns are explored by Eross et al (2017), the overreaction hypothesis is tested by Caporale and Plastun (2018a). Ma and Tanizaki (2019) analyse the day-of-the-week effect for both returns and their volatility in the cryptocurrency market, and find significantly high volatilities on Monday and Thursday. Similar results are reported by Aharon and Qadan (2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Bitcoin fluctuations and the frequency of price overreactions

Caporale

Plastun

Oliinyk

2019

Financ Mark Portf Manag

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This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical methods (both parametric and non-parametric) including ADF tests, Granger causality tests, correlation analysis, regression analysis with dummy variables, ARIMA and ARMAX models, neural net models, and VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about Bitcoin price movements (H1) and (ii) exhibits no seasonality (H2). On the whole, the results suggest that it can provide useful information to predict price dynamics in the cryptocurrency market and for designing trading strategies (H1 cannot be rejected), whilst there is no evidence of seasonality (H2 cannot be rejected).

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“…However, it is important to note that most of the previous works focus on stock market returns, almost always using stock market indexes and only in few cases studying other markets prices. Although some studies have paid attention to the "dayof-the-week" anomaly in the price of assets other than the stocks, such as some currency exchange rate markets or the bitcoin market (e.g., Ke et al, 2007;Decourt et al, 2017;Ma & Tanizaki, 2019), knowledge of how that anomaly is present in such alternative markets is still far from complete.…”

Section: Literature Reviewmentioning

confidence: 99%

The “day-of-the-week” effects in the exchange rate of Latin American currencies

Salgado¹,

Ramírez²,

Romero

2019

REMEF

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This paper examines the “day-of-the-week” anomaly in the foreign exchange market of six major Latin American countries’ currencies: (Argentina, Brazil, Chile, Colombia, Mexico, and Peru), all with respect to the United States’ dollar. The returns of daily exchange rates are stationary, so we use linear regressions combined with GARCH, TARCH and EGARCH models to explore the presence of the “day-of-the-week” anomaly. The results confirm the presence of “abnormal” effects in some of the currencies and in some days of the week, particularly on Fridays and Mondays. Moreover, volatility in exchange rates shows clustering behavior, as well as leverage effects, which are carefully modelled in our analysis. This paper contributes to the literature by studying the “day-of-the-week” effects in currency exchange rate markets, a clear innovation with respect to the typical stock market analysis. The results reported are useful for foreign exchange market traders, currency exposure management decision makers, monetary authorities, and financial policy designers in the countries included in the study. Indeed, the results suggest the presence of a typical behavior of the exchange rate of all the currencies included in the sample.

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The day-of-the-week effect on Bitcoin return and volatility

Cited by 58 publications

References 38 publications

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets

Bitcoin fluctuations and the frequency of price overreactions

The “day-of-the-week” effects in the exchange rate of Latin American currencies

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