Adaptive calendar effects and volume of extra returns in the cryptocurrency market

【Author】 Khuntia, Sashikanta; Pattanayak, J. K.

【Source】INTERNATIONAL JOURNAL OF EMERGING MARKETS

【影响因子】3.422

【Abstract】Purpose This study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) framework. Another agendum of this study is to investigate the quantum of extra returns which may result from the presence of calendar effects. Design/methodology/approach The present study considers both parametric and non-parametric approaches to verify calendar effects empirically. Specifically, this study has implemented Generalised Autoregressive Conditional Heteroscedasticity (1, 1) and Kruskal-Wallis tests in the rolling window approach to reveal adaptive patterns of calendar effects. Additionally, the present study has used the implied trading strategy to evaluate the volume of excess returns resulted from calendar effects than buy-and-hold (BH) strategy. Findings The overall results of the current study exhibit that calendar effect in the cryptocurrency market is dynamic rather than static which indicates the calendar effect is a time-varying phenomenon. Moreover, this study also confirmed that ITS is not suitable to obtain extra returns despite the existence of calendar effects. Research limitations/implications The present study has covered some broad aspects of calendar anomalies in the cryptocurrency market, keeping aside certain other limitations which need to be addressed in the following dimensions. Future studies may aim at addressing issues like, Turn-of-the-Year effect, Halloween effect, weather effect, and Month-of-the-Year effects, and try to explore the reasons of presence of dynamic patterns of calendar effects. Practical implications The significant implication of this study is that it alerts investors about market return predictability due to calendar patterns or effects in different periods. It also suggests the period in which the ITS can perform better than the BH strategy. Originality/value It is the first study in the cryptocurrency literature which has adopted the AMH framework to verify adaptive calendar effects or anomalies. Furthermore, this study, instead of a mere examination of the presence of calendar effects, has evaluated the potential of calendar effects to produce extra returns through trading strategies.

【Keywords】Calendar anomalies; Adaptive market hypothesis; Market efficiency; Cryptocurrency; Bitcoin

【发表时间】2021

【收录时间】2022-01-02

【文献类型】

【主题类别】

--