Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?

Olaoluwa Yaya and Ahamuefula Ogbonna

MPRA Paper from University Library of Munich, Germany

Abstract: This present paper investigates day-of-the-week effect in some notable cryptocurrency in terms of pricing and market capitalizations. We applied fractional integration regression approach with dummies. We found non-significance of day-of-the-week effect in returns, while there is possible evidence of Monday and Friday effects in volatility of Bitcoin only. Non-significance of day-of-the-week effect in returns of Bitcoin and some other cryptocurrencies further support market efficiency of these markets.

Keywords: Bitcoin; Day-of-the-week Effect; Cryptocurrency; Market efficiency (search for similar items in EconPapers)
JEL-codes: C2 C22 (search for similar items in EconPapers)
Date: 2019-01-12
New Economics Papers: this item is included in nep-ore and nep-pay
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:pra:mprapa:91429

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