Reevaluating intermarket connectedness: The impact of Monday return calculations on cryptocurrencies and traditional assets

Fahad Ali, Anna Min Du and Muhammad Ansar Majeed

Finance Research Letters, 2025, vol. 77, issue C

Abstract: Cryptocurrencies trade continuously, unlike traditional assets limited to weekdays, creating challenges in calculating Monday returns. This paper investigates the impact of four benchmark closing prices—Friday, Saturday, Sunday, and a weekend average—on intermarket connectedness. Analyzing 72 cryptocurrencies (2018–2024) and their relation to the S&P500 using the TVP-VAR model, we find significant variations in economic and statistical outcomes, influencing both the magnitude and direction of spillovers. Mixed log- and non-log-based return methods yield inconsistent results for specific cryptocurrencies like THETA, GNO, GLM, and WAVES. These findings highlight the critical importance of consistent return methodologies in cryptocurrency market analysis.

Keywords: Cryptocurrency returns; Intermarket connectedness; Monday effect; TVP-VAR model; Spillover effects (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325002806

DOI: 10.1016/j.frl.2025.107016

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