The Day of the Week Anomaly in Bitcoin Market

Year 2020, Volume: 4 Issue: 1, 53 - 61, 31.01.2020

Samet Evci

https://doi.org/10.29023/alanyaakademik.664776

Cited By: 4

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.

Keywords

Bitcoin, day of the week effect, anomaly, effective market hypothesis

Bitcoin Piyasasında Haftanın Günü Anomalisi

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.

Keywords

Bitcoin, haftanın günü etkisi, anomali, etkin piyasa hipotezi

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