The day-of-the-week pattern of price clustering in Bitcoin

被引：19
|
作者：
Mbanga, Cedric L. [1 ]
机构：
[1] Missouri State Univ, Sch Business Adm, Dept Finance & Gen Business, Springfield, MO 65897 USA
来源：
APPLIED ECONOMICS LETTERS | 2019年 / 26卷 / 10期
关键词：
Bitcoin; price clustering; cryptocurrency; day-of-the-week effect; INEFFICIENCY;
D O I：
10.1080/13504851.2018.1497844
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Following Urquhart (2017) who finds evidence of price clustering in Bitcoin, we answer the question of whether the documented price clustering in Bitcoin is driven by any given day-of-the-week. We find evidence that Bitcoin prices cluster around whole numbers more on Fridays and least on Mondays. We also show that Bitcoin price clustering around the top three most frequent two-digit decimals is primarily a Friday phenomenon.
引用
收藏
页码：807 / 811
页数：5
相关论文
共 50 条
  • [31] Day-of-the-week returns and mood: an exterior template approach
    Zilca, Shlomo
    FINANCIAL INNOVATION, 2017, 3 (01)
  • [32] Stock market return and volatility: Day-of-the-week effect
    M. Hakan Berument
    Nukhet Dogan
    Journal of Economics and Finance, 2012, 36 (2) : 282 - 302
  • [33] The evolution and cross-section of the day-of-the-week effect
    Shlomo Zilca
    Financial Innovation, 3
  • [34] Clustering in Bitcoin balance
    Telli, Sahin
    Zhao, Xufeng
    FINANCE RESEARCH LETTERS, 2023, 55
  • [35] US day-of-the-week effects and asymmetric responses to macroeconomic news
    Chang, EC
    Pinegar, JM
    Ravichandran, R
    JOURNAL OF BANKING & FINANCE, 1998, 22 (05) : 513 - 534
  • [36] Analysis of the day-of-the-week anomaly for the case of emerging stock market
    Sakalauskas, Virgilijus
    Kriksciuniene, Dalia
    PROGRESS IN ARTIFICIAL INTELLIGENCE, PROCEEDINGS, 2007, 4874 : 371 - 382
  • [37] The day-of-the-week effect: South African stock market indices
    du Toit, Elda
    Hall, John Henry
    Pradhan, Rudra Prakash
    AFRICAN JOURNAL OF ECONOMIC AND MANAGEMENT STUDIES, 2018, 9 (02) : 197 - 212
  • [38] A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect
    Stosic, Darko
    Stosic, Dusan
    Vodenska, Irena
    Stanley, H. Eugene
    Stosic, Tatijana
    ENTROPY, 2022, 24 (04)
  • [39] Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange
    Naz, Farah
    Zahra, Kanwal
    Ahmad, Muhammad
    Riaz, Salman
    INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2021, 8 (02)
  • [40] The Day-of-the-Week Effect: Evidence from Selected Balkan Markets
    Karanovic, Goran
    Karanovic, Bisera
    SCIENTIFIC ANNALS OF ECONOMICS AND BUSINESS, 2018, 65 (01) : 1 - 11
12345