Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

21 Pages Posted: 19 Dec 2017 Last revised: 21 Dec 2017

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Daniel Cahill

University of Western Australia

Keith Godfrey

The University of Western Australia - Department of Accounting and Finance

Zhangxin Frank Liu

The University of Western Australia Business School

Date Written: December 15, 2017

Abstract

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using more than 15 million price and trading volume observations from seven global Bitcoin exchanges reveal time-varying effects but no consistent or persistent patterns across the sample period. The results suggest that Bitcoin markets are efficient.

Keywords: Bitcoin; blockchain; day-of-week effects; January effect; Halloween effect; arbitrage; market efficiency

JEL Classification: G12; G14

Suggested Citation

Baur, Dirk G. and Cahill, Daniel and Godfrey, Keith and Liu, Zhangxin (Frank), Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume (December 15, 2017). Available at SSRN: https://ssrn.com/abstract=3088472 or http://dx.doi.org/10.2139/ssrn.3088472

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Daniel Cahill

University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Keith Godfrey

The University of Western Australia - Department of Accounting and Finance ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia
+61864885839 (Phone)

Zhangxin (Frank) Liu

The University of Western Australia Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

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