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The Day of the Week Effect in the Crypto Currency Market

Guglielmo Maria Caporale and Alex Plastun ()

No 1694, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal- Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto currency market.

Keywords: Efficient Market Hypothesis; day of the week effect; crypto currency; BitCoin; anomaly; trading strategy (search for similar items in EconPapers)
JEL-codes: G12 C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-mon
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

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