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Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume

Author

Listed:
  • Baur, Dirk G.
  • Cahill, Daniel
  • Godfrey, Keith
  • (Frank) Liu, Zhangxin

Abstract

There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.

Suggested Citation

  • Baur, Dirk G. & Cahill, Daniel & Godfrey, Keith & (Frank) Liu, Zhangxin, 2019. "Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume," Finance Research Letters, Elsevier, vol. 31(C), pages 78-92.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:78-92
    DOI: 10.1016/j.frl.2019.04.023
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    More about this item

    Keywords

    Bitcoin; Day-of-week effects; January effect; Halloween effect; Arbitrage; Market efficiency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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