The Day of the Week Effect in the Crypto Currency Market

Caporale, Guglielmo Maria; Plastun, Oleksiy

doi:10.2139/ssrn.3056229

The Day of the Week Effect in the Crypto Currency Market

Brunel University London, Department of Economics and Finance, Working Paper No. 17-19

21 Pages Posted: 21 Oct 2017

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Oleksiy Plastun

Sumy State University

There are 3 versions of this paper

Date Written: October 20, 2017

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

JEL Classification: G12, C63

Suggested Citation: Suggested Citation

Caporale, Guglielmo Maria and Plastun, Oleksiy, The Day of the Week Effect in the Crypto Currency Market (October 20, 2017). Brunel University London, Department of Economics and Finance, Working Paper No. 17-19, Available at SSRN: https://ssrn.com/abstract=3056229 or http://dx.doi.org/10.2139/ssrn.3056229