Calendar anomalies and market volatility in selected cryptocurrencies

Abstract

AbstractThis study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate that the Monday effect in the daily analysis generated a positive and significant coefficient for all five currencies and this anomaly is present in the cryptocurrency market. However, for all currencies, the December returns showed a significantly higher pattern as compared to January. This tendency indicates some prospects of lucrative trading. However, the evidence of negative Monday returns in this period is somewhat consistent with the relevant empirical literature. The study has some implications for investors, in that they can formulate strategies to produce abnormal returns. Investors and market analysts can form diverse portfolios by combining various cryptocurrencies using the intraday price statistics, and can devise strategies based on the intraday patterns using a similar analysis as that in this study.

Keywords

• calendar anomalies
• cryptocurrency
• Efficient Market Hypothesis
• Monday effect
• January effect
• MGARCH