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
Date Written: December 15, 2017
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: Suggested Citation