Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

İbrahim Korkmaz Kahraman; Dündar Kök

Makale detayları

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

Yazarlar:

İbrahim Korkmaz Kahraman | Dündar Kök

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Behavioural Finance | Finance | Financial Econometrics

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.346-365

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314663

pISSN:

2149-1658

Anahtar kelimeler:

Özet:

 This study examines the day-of-the-week DoW and month-of-the-year MoY effects in the cryptocurrency market, with a focus on Bitcoin BTC and Ethereum ETH. Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA1,0-EGARCH1,1 and ARMA1,0-GARCH1,1 for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH dont exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

 This study examines the day-of-the-week DoW and month-of-the-year MoY effects in the cryptocurrency market, with a focus on Bitcoin BTC and Ethereum ETH. Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA1,0-EGARCH1,1 and ARMA1,0-GARCH1,1 for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH dont exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

 This study examines the day-of-the-week DoW and month-of-the-year MoY effects in the cryptocurrency market, with a focus on Bitcoin BTC and Ethereum ETH. Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA1,0-EGARCH1,1 and ARMA1,0-GARCH1,1 for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH dont exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

 This study examines the day-of-the-week DoW and month-of-the-year MoY effects in the cryptocurrency market, with a focus on Bitcoin BTC and Ethereum ETH. Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA1,0-EGARCH1,1 and ARMA1,0-GARCH1,1 for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH dont exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

Makale detayları

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

Yazarlar:

İbrahim Korkmaz Kahraman | Dündar Kök

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Behavioural Finance | Finance | Financial Econometrics

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.346-365

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314663

pISSN:

2149-1658

Bitcoin

Ethereum

Cryptocurrency

Day-of-the-week effect

Month-of-the-year effect

Sayı

Makale detayları

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

Yazarlar: İbrahim Korkmaz Kahraman | Dündar Kök

Yayıncı: Burdur Mehmet Akif Ersoy University

Ana Başlıklar: Behavioural Finance | Finance | Financial Econometrics

Dergi: Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.346-365

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001314663

pISSN: 2149-1658

Bitcoin

Ethereum

Cryptocurrency

Day-of-the-week effect

Month-of-the-year effect

Sayı

Yazarlar:

İbrahim Korkmaz Kahraman | Dündar Kök

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Behavioural Finance | Finance | Financial Econometrics

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 1, pp.346-365

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001314663

pISSN:

2149-1658