Seasonality in cryptocurrencies
Finance Research Letters, 2019, vol. 31, issue C
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318304513
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