Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies

Mahmoud Qadan, David Y. Aharon and Ron Eichel

Finance Research Letters, 2022, vol. 46, issue PA

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 (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003597

DOI: 10.1016/j.frl.2021.102354

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