Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?

Yaya, OlaOluwa S and Ogbonna, Ephraim A (2019): Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?

Abstract

This present paper investigates day-of-the-week effect in some notable cryptocurrency in terms of pricing and market capitalizations. We applied fractional integration regression approach with dummies. We found non-significance of day-of-the-week effect in returns, while there is possible evidence of Monday and Friday effects in volatility of Bitcoin only. Non-significance of day-of-the-week effect in returns of Bitcoin and some other cryptocurrencies further support market efficiency of these markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bitcoin; Day-of-the-week Effect; Cryptocurrency; Market efficiency
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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