Bitcoin and the day-of-the-week effect

被引：65

作者：

Aharon, David Yechiam ^{[1
]}

Qadan, Mahmoud ^{[2
]}

机构：

[1] Ono Acad Coll, Dept Business Adm, Kiriat Ono, Israel

[2] Univ Haifa, Fac Management, Dept Business Adm, Haifa, Israel

来源：

FINANCE RESEARCH LETTERS | 2019年 / 31卷

关键词：

Bitcoin; Calendar anomalies; Cryptocurrency; Market efficiency; RETURNS; INFORMATION; PATTERNS; ECONOMICS; EARNINGS; GOLD;

D O I：

10.1016/j.frl.2018.12.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：415 / 424

页数：10

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