Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies

【Author】 Qadan, Mahmoud; Aharon, David Y.; Eichel, Ron

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We investigate the pricing efficiency of numerous popular cryptocurrencies using a wide range of non-economic events that include calendar anomalies, natural condition-based anomalies, holidays when US exchanges are closed and secular and ethnic holidays when exchanges are open - all documented in the finance literature regarding equities. We document the existence of very few similar effects in the examined cryptocurrencies. Generally, anomalies found in Bitcoin do not hold for other cryptocurrencies and vice versa. The within-the-month effect is the only effect common to all cryptocurrencies. Our results have implications for efficient asset pricing and diversification benefits for these currencies.

【Keywords】Bitcoin; Calendar anomalies; Cryptocurrency; Ethereum; Pricing efficiency

【发表时间】2022 MAY

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币