Calendar Anomalies in NFT Coins

Zeliha Can Ergün

Journal of Research in Economics, Politics & Finance, 2024, vol. 9, issue 1, 43-60

Abstract: This study examines the effect of day-of-the-week, month-of-the-year, and turn-of-the-month anomalies on NFT coins (Stacks, Tezos, and Decentraland) and Bitcoin. To this end, the generalized autoregressive conditional heteroscedasticity (GARCH) model was employed over the period 2019–2023. Based on the day-of-the-week anomaly results, Bitcoin has lower returns on Thursdays and Fridays, and Stacks has lower returns on Wednesdays. The remaining coins do not exhibit that anomaly. According to the month-of-the-year effect results, all evaluated coins generate abnormal returns in January. Moreover, positive returns are also reported in February for Tezos, Decentraland, and Bitcoin. Additionally, Bitcoin has positive returns in March as well. Furthermore, besides January, Stacks has significantly positive returns in April and May. Finally, the results of the turn-of-the-month anomaly suggest that only Stacks has statistically significant and positive returns on the last day of the month and the next three days. The remaining cryptocurrencies do not have such an anomaly. Overall, the findings of this study suggest the existence of calendar anomalies in the cryptocurrency market that contradict the assumptions of market efficiency. By using these outcomes, investors may develop trading strategies for their portfolio selection; hence, by taking advantage of the market, they could earn unusual profits.

Keywords: Calendar Anomalies; Efficient Markets; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: G14 G19 G40 G41 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:9:y:2024:i:1:p:43-60

DOI: 10.30784/epfad.1393529

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