Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis

Werner Kristjanpoller and Benjamin Miranda Tabak

Physica A: Statistical Mechanics and its Applications, 2025, vol. 658, issue C

Abstract: This article analyzes the calendar anomaly of the day of the week effect in the cryptocurrency market. Financial markets thrive on open marketplaces, faster communication and more information, making them more efficient. Higher efficiency would result in the disappearance of these calendar anomalies. We contribute by employing a novel asymmetric multifractal analysis of high-frequency returns during trading hours. Our findings revealed significant differences in the multifractal behavior of the hourly returns of the five leading cryptocurrencies. In particular, we observe a higher degree of multifractality on Thursdays. The Hurst exponent also showed statistically different values for the days of the week. Four of the five cryptocurrencies showed persistent behavior on Fridays and anti-persistent behavior on Tuesdays and Saturdays. These patterns offer potential for traders and investors to exploit, underscoring the practical value of this research.

Keywords: Multifractal analysis; Day of the week effect; Cryptocurrency; High frequency; Calendar anomalies; Market efficiency (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437124008161
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:658:y:2025:i:c:s0378437124008161

DOI: 10.1016/j.physa.2024.130306

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().