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The Day of the Week Anomaly in Bitcoin Market

Year 2020, Volume: 4 Issue: 1, 53 - 61, 31.01.2020
https://doi.org/10.29023/alanyaakademik.664776

Abstract

The cryptocurrency market has developed very rapidly in the short term and attracted the attention of both investors and academicians. Bitcoin has the highest market capitalization in cryptocurrency market. Because Bitcoin has a different market operation than traditional financial markets and uses a different system in the process of creating money, investors need to understand the factors that lead to changes in Bitcoin prices. The aim of this study is to investigate the presence of anomaly in the day of the week in Bitcoin prices. Day-of-week anomaly in Bitcoin returns was analyzed using asymmetric GARCH model using daily prices for 2013-2019. The findings of the study revealed that Monday, Thursday and Sunday had negative effects on Bitcoin returns and the maximum loss occurred on Thursday.

References

  • AGGARWAL, R. ve RİVOLİ, P. (1989). “Seasonal and Day‐of‐The‐Week Effects in Four Emerging Stock Markets” , Financial Review, 24(4): 541-550.
  • AHARON, D. Y. ve QADAN, M. (2018). “Bitcoin and Day‐of‐The‐Week Effect”, Finance Research Letters. 31.
  • APOLINARIO, R. M. C., SANTANA, O. M., SALES, L. J.ve CARO, A. R. (2006). “Day of The Week Effect on European Stock Markets”, International Research Journal of Finance and Economics, 2(1): 53-70.
  • ARI, A., ve YÜKSEL, Ö. (2017). “BİST 100'de Haftanın Günü Anomalisi: Ekonometrik Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(632): 77-89.
  • BARİVIERA A. F., BASGALL M. J., HASPERUe´ W. ve NAIOUF, M. (2017). “Some Stylized Facts of the Bitcoin Market”, Physica A:Statistical Mechanics and its Applications. 2017; 484: 82–90.
  • BOUCHAUD J. P., POTTERS, M. (2003). Theory of Financial Risk And Derivative Pricing: From Statistical Physics To Risk Management, Cambridge University Press.
  • BOUOIYOUR, J. ve SELMI, R. (2015). “What Does Bitcoin Look Like?”, Annals of Economics & Finance, (2): 16.
  • BROOKS, C. ve PERSAND, G. (2001). “Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-Of-The-Week Effects”, Applied Economics Letters, 8(3): 155-158.
  • CAPORALE, G. M., ve PLASTUN, A. (2019). “The Day of the Week Effect in the Cryptocurrency Market”, Finance Research Letters, 31: 258-269.
  • Coinmarketcap, https://coinmarketcap.com/charts, 25.09.2019
  • EYÜBOĞLU, K. (2018). “Examining Day Of the Week and Month Of The Year Effects in Bitcoin and Litecoin Markets”, Çankırı Karatekin Üniversitesi İİBF Dergisi, 8(1): 165-183.
  • Fama, E. F. (1965). The behaviour of stock market prices. Journal of Business, 38(10): 34- 105.
  • FAMA, E. F., (1970). Efficient Capital Markets: A Review Of Theory And Empirical Work”, Journal of Finance, 25: 338-417.
  • FARELL, R. (2015). “An Analysis Of The Cryptocurrency Industry”, Wharton Research Scholars. 130: 1-23
  • FINK, C. ve JOHANN, T. (2014). “Bitcoin Markets”, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2408396, 15.09.2019.
  • FRENNBERG, P. ve HANSSON, B. (1993). “Testing The Random Walk Hypothesis On Swedish Stock Prices: 1919–1990”, Journal of Banking & Finance, 17(1): 175-191
  • GÜLTEKİN, Y. ve BULUT, Y. (2016). “Bitcoin Ekonomisi: Bitcoin Eko-Sisteminden Doğan Yeni Sektörler ve Analizi”, Adnan Menderes Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, 3(3): 82-92.
  • JANG, H. ve LEE, J. (2017). “An Empirical Study On Modeling And Prediction Of Bitcoin Prices With Bayesian Neural Networks Based On Blockchain Information”, IEEE Access: 5427-5437.
  • JIANG Y, NIE H. ve RUAN W. (2018). “Time-Varying Long-Term Memory in Bitcoin Market”, Finance Research Letters. 25: 280–284.
  • KOÇOĞLU, Ş., ÇEVİK, Y. E. ve TANRIÖVEN, C. (2016). “Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı”, İşletme Araştırmaları Dergisi, 8 (2): 77-97.
  • KRISTOUFEK, L. (2015). “What Are The Main Drivers Of The Bitcoin Price? Evidence from Wavelet Coherence Analysis”, PloS one, 10(4): 1-15.
  • KUMAR, S. (2016). “Revisiting Calendar Anomalies: Three Decades Of Multicurrency Evidence”, Journal of Economics and Business, 86:16-32.
  • KURIHARA Y. ve FUKUSHIMA, A. (2017). “The Market Efficiency Of Bitcoin: A Weekly Anomaly Perspective”, Journal of Applied Finance & Banking, 7(3): 57-64.
  • KURIHARA, Y. (2011). “Is The Tokyo Foreign Exchange Market Efficient From Two Perspectives Of Forward Bias And Anomaly?”, Modern Economy, 2(4): 597-601.
  • LAHMIRI, S., BEKIROS, S., ve SALVI, A.(2018). “Long-Range Memory, Distributional Variation and Randomness Of Bitcoin Volatility”, Chaos, Solitons & Fractals. 107:43–48.
  • MUKHOPADHYAY, U., SKJELLUM, A., HAMBOLU, O., OAKLEY, J., YU, L., ve BROOKS, R.R. (2016). “A Brief Survey of Cryptocurrency Systems”, In Proceedings of 14th Annual Conference on Privacy, Security and Trust: 745-752.
  • NAKAMOTO, S., (2008). “Bitcoin: A Peer to Peer Electronic Cash System”. http://bitcoin.org/bitcoin.pdf, 2008, 01.10.2019.
  • NELSON, D., B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59: 347-70.
  • OSTERRIEDER J. ve LORENZ J.(2017). “A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behavior”, Annals of Financial Economics. 2017; 12(01):1750003
  • POPOVIĆ, S. ve ĐUROVIĆ, A. (2014). “Intraweek and Intraday Trade Anomalies: Evidence from Forex Market”, Applied Economics, 46(32): 3968-3979.
  • RODRIGUEZ, W. K. (2012). “Day of the Week Effect in Latin American Stock Markets”, Journal of Economic Analysis, 27: 71-89.
  • SHI F-B, SUN X-Q, GAO J-H, XU L, SHEN H-W ve CHENG X-Q (2019). “Anomaly Detection in Bitcoin Market via Price Return Analysis”, PLoS ONE 14(6): 1-11.
  • SMITH, G. ve RYOO H.J. (2003). “Variance Ratio Tests of the Random Walk Hypothesis for European Emerging Stock Markets”, European Journal of Finance, 9(3): 290-300.
  • Tradingview, https://tr.tradingview.com. 25.09.2019.
  • UZKARALAR, Ö. ve EVCİ, S.(2018). “Kripto Para Piyasasında Asimetrik Etkinin İncelenmesi”, Akça, H.(Der), I.Uluslararası Multidisipliner Çalışmaları Kongresi içinde (37-46). Ankara:Akademisyen Kitabevi
  • WORTHINGTON, A. ve HIGGS, H. (2003). “Random Walks and Market Efficiency in European Equity Markets”, Global Journal of Finance and Economics, 1 (1): 59-78.
  • YAMORI, N.ve KURIHARA, Y. (2004). “The day-of-the-Week Effect in Foreign Exchange Markets: Multi-Currency Evidence”, Research in International Business and Finance, 18(1): 51-57.

Bitcoin Piyasasında Haftanın Günü Anomalisi

Year 2020, Volume: 4 Issue: 1, 53 - 61, 31.01.2020
https://doi.org/10.29023/alanyaakademik.664776

Abstract

Kripto para piyasası kısa dönemde çok hızlı bir gelişim göstermiş hem yatırımcıların hem de akademisyenlerin ilgisini çekmiştir. Bu piyasada en fazla piyasa değerine sahip kripto para birimi Bitcoin’dir. Gerek geleneksel finansal piyasaların işleyişinden farklı bir piyasa işleyişine sahip olması gerekse para yaratma sürecinde farklı bir sistemi kullanması yatırımcılar açısından Bitcoin fiyatlarında değişime yol açan faktörleri anlamayı gerekli kılmaktadır. Bu çalışma ile Bitcoin fiyatlarında haftanın günü anomalisinin varlığının araştırılması amaçlanmıştır. Bitcoin getirilerinde haftanın günü anomalisi, 2013-2019 yıllarına ait günlük fiyatlar kullanılarak asimetrik GARCH modeliyle incelenmiştir. Çalışmadan elde edilen bulgular Bitcoin getirileri üzerinde Pazartesi, Perşembe ve Pazar günlerinin negatif etkileri olduğunu ve en fazla kaybın Perşembe günü gerçekleştiğini ortaya koymuştur.

References

  • AGGARWAL, R. ve RİVOLİ, P. (1989). “Seasonal and Day‐of‐The‐Week Effects in Four Emerging Stock Markets” , Financial Review, 24(4): 541-550.
  • AHARON, D. Y. ve QADAN, M. (2018). “Bitcoin and Day‐of‐The‐Week Effect”, Finance Research Letters. 31.
  • APOLINARIO, R. M. C., SANTANA, O. M., SALES, L. J.ve CARO, A. R. (2006). “Day of The Week Effect on European Stock Markets”, International Research Journal of Finance and Economics, 2(1): 53-70.
  • ARI, A., ve YÜKSEL, Ö. (2017). “BİST 100'de Haftanın Günü Anomalisi: Ekonometrik Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(632): 77-89.
  • BARİVIERA A. F., BASGALL M. J., HASPERUe´ W. ve NAIOUF, M. (2017). “Some Stylized Facts of the Bitcoin Market”, Physica A:Statistical Mechanics and its Applications. 2017; 484: 82–90.
  • BOUCHAUD J. P., POTTERS, M. (2003). Theory of Financial Risk And Derivative Pricing: From Statistical Physics To Risk Management, Cambridge University Press.
  • BOUOIYOUR, J. ve SELMI, R. (2015). “What Does Bitcoin Look Like?”, Annals of Economics & Finance, (2): 16.
  • BROOKS, C. ve PERSAND, G. (2001). “Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-Of-The-Week Effects”, Applied Economics Letters, 8(3): 155-158.
  • CAPORALE, G. M., ve PLASTUN, A. (2019). “The Day of the Week Effect in the Cryptocurrency Market”, Finance Research Letters, 31: 258-269.
  • Coinmarketcap, https://coinmarketcap.com/charts, 25.09.2019
  • EYÜBOĞLU, K. (2018). “Examining Day Of the Week and Month Of The Year Effects in Bitcoin and Litecoin Markets”, Çankırı Karatekin Üniversitesi İİBF Dergisi, 8(1): 165-183.
  • Fama, E. F. (1965). The behaviour of stock market prices. Journal of Business, 38(10): 34- 105.
  • FAMA, E. F., (1970). Efficient Capital Markets: A Review Of Theory And Empirical Work”, Journal of Finance, 25: 338-417.
  • FARELL, R. (2015). “An Analysis Of The Cryptocurrency Industry”, Wharton Research Scholars. 130: 1-23
  • FINK, C. ve JOHANN, T. (2014). “Bitcoin Markets”, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2408396, 15.09.2019.
  • FRENNBERG, P. ve HANSSON, B. (1993). “Testing The Random Walk Hypothesis On Swedish Stock Prices: 1919–1990”, Journal of Banking & Finance, 17(1): 175-191
  • GÜLTEKİN, Y. ve BULUT, Y. (2016). “Bitcoin Ekonomisi: Bitcoin Eko-Sisteminden Doğan Yeni Sektörler ve Analizi”, Adnan Menderes Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, 3(3): 82-92.
  • JANG, H. ve LEE, J. (2017). “An Empirical Study On Modeling And Prediction Of Bitcoin Prices With Bayesian Neural Networks Based On Blockchain Information”, IEEE Access: 5427-5437.
  • JIANG Y, NIE H. ve RUAN W. (2018). “Time-Varying Long-Term Memory in Bitcoin Market”, Finance Research Letters. 25: 280–284.
  • KOÇOĞLU, Ş., ÇEVİK, Y. E. ve TANRIÖVEN, C. (2016). “Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı”, İşletme Araştırmaları Dergisi, 8 (2): 77-97.
  • KRISTOUFEK, L. (2015). “What Are The Main Drivers Of The Bitcoin Price? Evidence from Wavelet Coherence Analysis”, PloS one, 10(4): 1-15.
  • KUMAR, S. (2016). “Revisiting Calendar Anomalies: Three Decades Of Multicurrency Evidence”, Journal of Economics and Business, 86:16-32.
  • KURIHARA Y. ve FUKUSHIMA, A. (2017). “The Market Efficiency Of Bitcoin: A Weekly Anomaly Perspective”, Journal of Applied Finance & Banking, 7(3): 57-64.
  • KURIHARA, Y. (2011). “Is The Tokyo Foreign Exchange Market Efficient From Two Perspectives Of Forward Bias And Anomaly?”, Modern Economy, 2(4): 597-601.
  • LAHMIRI, S., BEKIROS, S., ve SALVI, A.(2018). “Long-Range Memory, Distributional Variation and Randomness Of Bitcoin Volatility”, Chaos, Solitons & Fractals. 107:43–48.
  • MUKHOPADHYAY, U., SKJELLUM, A., HAMBOLU, O., OAKLEY, J., YU, L., ve BROOKS, R.R. (2016). “A Brief Survey of Cryptocurrency Systems”, In Proceedings of 14th Annual Conference on Privacy, Security and Trust: 745-752.
  • NAKAMOTO, S., (2008). “Bitcoin: A Peer to Peer Electronic Cash System”. http://bitcoin.org/bitcoin.pdf, 2008, 01.10.2019.
  • NELSON, D., B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59: 347-70.
  • OSTERRIEDER J. ve LORENZ J.(2017). “A Statistical Risk Assessment of Bitcoin and Its Extreme Tail Behavior”, Annals of Financial Economics. 2017; 12(01):1750003
  • POPOVIĆ, S. ve ĐUROVIĆ, A. (2014). “Intraweek and Intraday Trade Anomalies: Evidence from Forex Market”, Applied Economics, 46(32): 3968-3979.
  • RODRIGUEZ, W. K. (2012). “Day of the Week Effect in Latin American Stock Markets”, Journal of Economic Analysis, 27: 71-89.
  • SHI F-B, SUN X-Q, GAO J-H, XU L, SHEN H-W ve CHENG X-Q (2019). “Anomaly Detection in Bitcoin Market via Price Return Analysis”, PLoS ONE 14(6): 1-11.
  • SMITH, G. ve RYOO H.J. (2003). “Variance Ratio Tests of the Random Walk Hypothesis for European Emerging Stock Markets”, European Journal of Finance, 9(3): 290-300.
  • Tradingview, https://tr.tradingview.com. 25.09.2019.
  • UZKARALAR, Ö. ve EVCİ, S.(2018). “Kripto Para Piyasasında Asimetrik Etkinin İncelenmesi”, Akça, H.(Der), I.Uluslararası Multidisipliner Çalışmaları Kongresi içinde (37-46). Ankara:Akademisyen Kitabevi
  • WORTHINGTON, A. ve HIGGS, H. (2003). “Random Walks and Market Efficiency in European Equity Markets”, Global Journal of Finance and Economics, 1 (1): 59-78.
  • YAMORI, N.ve KURIHARA, Y. (2004). “The day-of-the-Week Effect in Foreign Exchange Markets: Multi-Currency Evidence”, Research in International Business and Finance, 18(1): 51-57.
There are 37 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Makaleler
Authors

Samet Evci 0000-0002-5854-3847

Publication Date January 31, 2020
Acceptance Date January 22, 2020
Published in Issue Year 2020 Volume: 4 Issue: 1

Cite

APA Evci, S. (2020). Bitcoin Piyasasında Haftanın Günü Anomalisi. Alanya Akademik Bakış, 4(1), 53-61. https://doi.org/10.29023/alanyaakademik.664776