EconPapers    
Economics at your fingertips  
 

Seasonality in cryptocurrencies

Lars Kaiser

Finance Research Letters, 2019, vol. 31, issue C

Abstract: Considering a relatively large cross-section of ten cryptocurrencies, we test for the existence of well-known equity seasonality patterns with respect to cryptocurrency returns, volatility, trading volume and a spread estimator. Whilst we do not observe consistent and robust calendar effects in cryptocurrency returns and consequently cannot reject the weak-form market efficiency, we do observe robust patterns in trading activity. As such, trading volume, volatility and spreads are on average lower in January, on weekends and during the summer months. Besides, we also report a strong impact on the direction and significance of monthly seasonality patterns due to the stark market sell-off in January 2018, which has to be accounted for.

Keywords: January effect; Monday effect; Weekend effect; Halloween effect; Turn-of-the-month effect; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318304513
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318304513

DOI: 10.1016/j.frl.2018.11.007

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-05-02
Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318304513