The day of the week effect in the cryptocurrency market

By Guiglielmo Maria Caporale, Alex Plastun. Finance Research Letters, 2017

147 citations recorded by the source corpus.

This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto currency market.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/66a49b57d3360d4dce228a9e82a693403f4c72ae

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Citations in the corpus

Cryptocurrency trading: a comprehensive survey (2020, background): “[45] examined week effect in cryptocurrency markets and explored the feasibility of this indicator in trading practice.”
Volatility in the Cryptocurrency Market (2019, background): “…http://econ.ucalgary.ca/profiles/162-33618 1 Department of Economics, University of Calgary, Calgary, AB, Canada J. Liu, A. Serletis market is rather young (Bitcoin was created in 2009, but active trade only started in 2013) and therefore is still mostly unexplored (see Caporale and Plastun 2017).”