Calendar Effects in Bitcoin Returns and Volatility

Posted: 4 Feb 2020

See all articles by Harald Kinateder

Harald Kinateder

Passau University

Vassilios G. Papavassiliou

University College Dublin (UCD) - Michael Smurfit Graduate School of Business; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: December 31, 2019

Abstract

We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween calendar anomaly. A classical DOW effect is not present in Bitcoin returns, however, we find significantly lower risk over the weekend whilst in the beginning of the week Bitcoin's volatility is more intense. Moreover, supporting evidence of a reverse January effect is detected. Our results also show that investors’ risk drops substantially in September.

Keywords: Calendar Anomalies, Bitcoin, GARCH Dummy Model, Efficient Market Hypothesis, Seasonalities

JEL Classification: G11, G17

Suggested Citation

Kinateder, Harald and Papavassiliou, Vassilios G., Calendar Effects in Bitcoin Returns and Volatility (December 31, 2019). Finance Research Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3517291

Harald Kinateder

Passau University ( email )

Innstrasse 27
Passau, 94032
Germany

Vassilios G. Papavassiliou (Contact Author)

University College Dublin (UCD) - Michael Smurfit Graduate School of Business ( email )

Blackrock, Co. Dublin
Ireland

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

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