Revisiting seasonality in cryptocurrencies

Lukas Mueller

Finance Research Letters, 2024, vol. 64, issue C

Abstract: The evidence on seasonality in cryptocurrency returns is not robust. Although the positive Monday effect for Bitcoin is internally valid, it does not persist in data after 2015. We do not find robust evidence of return abnormalies but of lower trading activity on weekends. This finding is robust across 500 different coins. We also find that the Monday effect in the cross-section of coins is typically negative, but the confidence intervals remain wide.

Keywords: January effect; Monday effect; Weekend effect; Halloween effect; Cryptocurrencies; Bitcoin; Ethereum; Seasonality, Calendar anomalies (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004598

DOI: 10.1016/j.frl.2024.105429

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