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Bitcoin and the day-of-the-week effect

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  • Aharon, David Yechiam
  • Qadan, Mahmoud

Abstract

The day-of-the-week effect is a well-known phenomenon in financial markets, detected in the price of equities, bonds, currencies and commodities. In this study, we extend the exploration of this anomaly to Bitcoin. Using OLS and GARCH models with daily data for 2010–2017, we provide initial evidence about the existence of the day-of-the-week effect anomaly not only in returns but also in the volatility of Bitcoin. Our results also indicate the strong independence of Bitcoin and that classic speculative variables in the financial markets are limited in forecasting the price of Bitcoin. Our results are robust using different subsamples, estimation procedures and control variables.

Suggested Citation

  • Aharon, David Yechiam & Qadan, Mahmoud, 2019. "Bitcoin and the day-of-the-week effect," Finance Research Letters, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612317307894
    DOI: 10.1016/j.frl.2018.12.004
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    More about this item

    Keywords

    Bitcoin; Calendar anomalies; Cryptocurrency; Market efficiency;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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