Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets

Bernardina Algieri, Kokulo Lawuobahsumo and Arturo Leccadito
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Arturo Leccadito: Université catholique de Louvain, LIDAM/LFIN, Belgium

No 2024001, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Abstract: This study aims to investigate calendar effects in the cryptocurrency market. We consider the day-of-the-week, the month-of-the-year, quarter-of-the-year, the US Holidays, and Weekend calendar anomalies for the leading cryptocurrencies: Bitcoin, Dash, Dogecoin, Litecoin, Ripple, and Stellar. Our study employs the Autoregressive Conditional Density model with dummy variables to scrutinize these calendar effects. We find anomalies in the mean, variance, skewness, and kurtosis for these cryptocurrencies’ returns. Our result suggests that the cryptocurrency market in some periods tends to violate the Efficient Market Hypothesis.

Keywords: Calendar effects; Higher Moments; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 (search for similar items in EconPapers)
Pages: 30
Date: 2024-01-01
New Economics Papers: this item is included in nep-fmk and nep-pay
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