 The day of the week effect in the cryptocurrency marketGuglielmo Maria Caporale and Alex Plastun Finance Research Letters, 2019, vol. 31, issue C Abstract: 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. Keywords: Efficient Market Hypothesis; Day of the week effect; Cryptocurrency; Bitcoin; Anomaly; Trading strategy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318304240 DOI: 10.1016/j.frl.2018.11.012 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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