Calendar effects in Bitcoin returns and volatility

Harald Kinateder and Vassilios Papavassiliou

Finance Research Letters, 2021, vol. 38, issue C

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 (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311316

DOI: 10.1016/j.frl.2019.101420

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