Calendar anomalies in the cryptocurrency markets
Keywords
Loading...
Authors
Issue Date
2023-07-11
Language
en
Document type
Journal Title
Journal ISSN
Volume Title
Publisher
Title
ISSN
Volume
Issue
Startpage
Endpage
DOI
Abstract
This study investigates four famous anomalies that have been found in the stock market(Monday-January –Halloween and Second Quarter effects) to exist in the Crypto market. The test was for samples of daily and monthly prices of five main cryptocurrencies in the crypto market (Bitcoin, Ethereum, Stellar, Litecoin, and XRB) over the period between January 2015 to April 2020. The analysis extends from previous papers and considers three regressions that are the Capital Asset Pricing Model (CAPM), Fama-French's three factors, and Carhart's four factors by applying a dummy variable that represents the anomaly under the test. The main finding of the analysis is that there is no Monday effect in the coins of the study while there is a January effect for Ethereum. The Bitcoin shows evidence of a reverse Halloween effect and there was no evidence for observing the second quarter effect. Finally, all tests have shown a strong relationship between the returns of the coins and the risk.
Description
Citation
Supervisor
Faculty
Faculteit der Managementwetenschappen