The day-of-the-week effect on Bitcoin return and volatility

Donglian Ma and Hisashi Tanizaki

Research in International Business and Finance, 2019, vol. 49, issue C, 127-136

Abstract: This study investigates the day-of-the-week effect on both return and volatility of Bitcoin (BTC) from January 2013 to December 2018 using daily data obtained from CoinDesk Bitcoin Price Index. Estimation results suggest that the day-of-the-week effect in return equation varies with sample periods, while significantly high volatilities are observed on Monday and Thursday. Hence, the significantly high mean return of Bitcoin on Monday is found as a response to higher volatility. Besides, the day-of-the-week effect on both return and volatility remains robust after accounting for stock market returns (S&P 500; SSEC; Nikkei 225) and foreign exchange market returns (USD/CNY; USD/JPY; EURO/USD). Finally, no asymmetry effect on volatility is discovered here.

Keywords: Bitcoin; Stochastic volatility; Day-of-the-week effect; Bayesian (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531918307827
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:riibaf:v:49:y:2019:i:c:p:127-136

DOI: 10.1016/j.ribaf.2019.02.003

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().