Calendar Anomaly and the Degree of Market Inefficiency of Bitcoin

S. Raja Sethu Durai and Sunil Paul
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S. Raja Sethu Durai: Associate Professor, School of Economics, University of Hyderabad, Hyderabad-500046, India

Working Papers from Madras School of Economics,Chennai,India

Abstract: We find evidence for a day of the week calendar anomaly in Bitcoin returns and argue that not considering this anomaly results in a biased estimate of the market efficiency. Further, it also quantifies the degree of market inefficiency of Bitcoin over time using the methodology proposed by Ito and Sugiyama (2009) and found evidence in favor of very high degree of market inefficiency for the period spanning from July 2010 to January 2018. This result contradicts some of the recent studies that argue in favor of the market efficiency of Bitcoin

Keywords: Bitcoin; Level of inefficiency; State-space model (search for similar items in EconPapers)
JEL-codes: C32 G14 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2018-04
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Citations: View citations in EconPapers (3)

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