Dynamic analysis of calendar anomalies in cryptocurrency marketsevidences of adaptive market hypothesis

  1. Carmen López-Martín 1
  1. 1 Universidad Nacional de Educación a Distancia
    info

    Universidad Nacional de Educación a Distancia

    Madrid, España

    ROR https://ror.org/02msb5n36

Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Año de publicación: 2023

Volumen: 52

Número: 4

Páginas: 559-592

Tipo: Artículo

DOI: 10.1080/02102412.2022.2131239 DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Revista española de financiación y contabilidad

Resumen

This paper analyses the effects known as the day of the week and the month of the year in the cryptocurrency markets. The closing values of eleven cryptocurrencies have been considered. The study employs dummy variable regression techniques, ANOVA and Friedman tests for assessing two calendar anomalies, the day-of-week and month-of-year effects. To test these calendar effects, we have applied both full sample and rolling-regression techniques for two lengths of the rolling sample intervals. Furthermore, we have examined the existence of long memory in day-of-the- week and month-of-the-year cryptocurrency returns. The results provide evidence about the existence of day-of-the-week and month-of-the-year effects in cryptocurrency returns, in particular, on Thursdays and in November. In addition, it should be added that the general results of the current study show that the calendar effect in the cryptocurrency market is dynamic rather than static, which indicates that the calendar effect is a phenomenon that varies over time.

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