Revisiting seasonality in cryptocurrencies

Lukas Müller

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: The evidence on seasonality in cryptocurrency returns is not robust. Although the positive Monday effect for Bitcoin is internally valid, it does not persist in data after 2015. We do not find robust evidence of return abnormalies but of lower trading activity on weekends. This finding is robust across 500 different coins. We also find that the Monday effect in the cross-section of coins is typically negative, but the confidence intervals remain wide.

Date: 2024-06
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Published in Finance Research Letters (2024-06)

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