Munich Personal RePEc Archive

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?

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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.

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