Bitcoin Returns and the Weekday Effect

16 Pages Posted: 9 Aug 2019

See all articles by Roberto Decourt

Roberto Decourt

University of Vale do Rio dos Sinos (UNISINOS) - Unisinos Business School

Usman W. Chohan

UNSW Business School; Critical Blockchain Research Initiative (CBRI); Centre for Aerospace & Security Studies (CASS)

Maria Letizia Perugini

University of Bologna

Date Written: August 9, 2019

Abstract

This paper examines whether the well-known Monday Effect found in stock andTreasury Bills markets also occurs in the Bitcoin market, which differs markedlyfrom other markets due to its continuous trading. The findings of the paper suggestthat the Bitcoin market is not efficient and provides the opportunity to generatestrategies with high abnormal returns. The paper uses a Student’s t-test for astatistically significant difference in the average daily returns of weekdays and find-ing that Tuesday and Wednesday has higher returns as compared with other days.This is corroborated by a regression analysis indicating that there are above averagereturns on Tuesday and Wednesday.

Keywords: Bitcoin, Weekday effect, Cryptocurrency

JEL Classification: G02, G14, O3

Suggested Citation

Decourt, Roberto and Chohan, Usman W. and Perugini, Maria Letizia, Bitcoin Returns and the Weekday Effect (August 9, 2019). Available at SSRN: https://ssrn.com/abstract=3435176 or http://dx.doi.org/10.2139/ssrn.3435176

Roberto Decourt (Contact Author)

University of Vale do Rio dos Sinos (UNISINOS) - Unisinos Business School ( email )

Av. Unisinos 950, Bairro Cristo Rei
Escola de Gestão e Negócios, Sala E07 - 404C
São Leopoldo, São Leopoldo - RS 93.022-000
Brazil

Usman W. Chohan

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Critical Blockchain Research Initiative (CBRI) ( email )

Centre for Aerospace & Security Studies (CASS) ( email )

Rawalpindi
Pakistan

Maria Letizia Perugini

University of Bologna ( email )

Via Zamboni 22
I-40121 Bologna
Italy

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