Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume

Dirk G. Baur, Daniel Cahill, Keith Godfrey and (Frank) Liu, Zhangxin

Finance Research Letters, 2019, vol. 31, issue C, 78-92

Abstract: There is a large literature that analyzes time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study reports intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million observations from seven global and continuously-traded Bitcoin exchanges, we find time-specific anomalies in returns but no persistent effects across time. In contrast, we find persistent differences in trading activity across all exchanges with lower activity during local evening hours and on weekends. The results suggest that both retail and institutional investors are actively trading Bitcoin.

Keywords: Bitcoin; Day-of-week effects; January effect; Halloween effect; Arbitrage; Market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:78-92

DOI: 10.1016/j.frl.2019.04.023

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