The day of the week effect in the cryptocurrency market

被引：122

作者：

Caporale, Guglielmo Maria ^{[1
,2
]}

Plastun, Alex ^{[3
]}

机构：

[1] Brunel Univ London, CESifo, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[2] Brunel Univ London, DIW Berlin, Uxbridge UB8 3PH, Middx, England

[3] Sumy State Univ, Sumy, Ukraine

来源：

FINANCE RESEARCH LETTERS | 2019年 / 31卷

关键词：

Efficient Market Hypothesis; Day of the week effect; Cryptocurrency; Bitcoin; Anomaly; Trading strategy; OF-THE-WEEK; BITCOIN; RETURNS; PRICES;

D O I：

10.1016/j.frl.2018.11.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the day of the week effect in the cryptocurrency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities; however, most of these results are not significantly different from the random ones and therefore cannot be seen as conclusive evidence against market efficiency.

引用

页码：258 / 269

页数：12

共 26 条

[1] HIGH STOCK RETURNS BEFORE HOLIDAYS - EXISTENCE AND EVIDENCE ON POSSIBLE CAUSES [J].