Calendar effects in Bitcoin returns and volatility

【Author】 Kinateder, Harald; Papavassiliou, Vassilios G.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013-2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween calendar anomaly. A classical DOW effect is not present in Bitcoin returns, however, we find significantly lower risk over the weekend whilst in the beginning of the week Bitcoin's volatility is more intense. Moreover, supporting evidence of a reverse January effect is detected. Our results also show that investors' risk drops substantially in September.

【Keywords】Calendar anomalies; Bitcoin; GARCH dummy model; Efficient market hypothesis; Seasonalities

【发表时间】2021 JAN

【收录时间】2022-01-02

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