Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets

Yıl 2018, Cilt: 8 Sayı: 1, 165 - 183, 30.06.2018

Kemal Eyüboğlu

Öz

Cryptocurrency
technology works on a network that allows people to make payment all over the
world without need of any intermediary. Since the development of this technology,
it has received much attention and price of cryptocurrencies has been
increasing rapidly and become very volatile. This paper examines the day of the
week and month of the year effects in Bitcoin and Litecoin markets using GARCH
(1,1) model. The sample period is from May 1, 2013 to December 21, 2016. Results indicate
significant presence of the day of the week and month of the year effects in
Bitcoin and Litecoin returns. It is determined that Monday, Tuesday and Friday
have significant positive effects on Bitcoin and negative Saturday effect on
Litecoin returns. Also February, October and November have significant and
positive effect on Bitcoin, significant and negative August effect on Litecoin
returns in terms of month of the year effect.

Anahtar Kelimeler

Cryptocurrency, Day of the Week Effect, Month of the Year Effect, GARCH

Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets

Öz

Kripto para
teknolojisi, insanların herhangi bir aracıya ihtiyaç duymadan dünyanın dört bir
yanında ödeme yapmalarını sağlar ve internet üzerinden çalışır. Bu teknolojinin
ortaya çıkışı ile dikkatler bu paralara çevrilmiş, fiyatları hızla artmaya
başlamış ve aynı zamanda oynak hale gelmişlerdir. Bu çalışmada GARCH (1,1)
modeli kullanılarak Bitcoin ve Litecoin piyasalarında haftanın günü ve yılın
ayı etkilerinin varlığı incelenmiştir. Çalışma dönemi 1 Mayıs 2013-21 Aralık
2016 arasını kapsamaktadır. Elde edilen sonuçlar Bitcoin ve Litecoin
getirilerinde haftanın günü ve yılın ayı etkilerinin var olduğunu
göstermektedir. Pazartesi, Salı ve Cuma günlerinin Bitcoin getirileri üzerinde
pozitif ve anlamlı, Cumartesi’nin ise Litecoin getirileri üzerinde negatif ve
anlamlı etkisi olduğu tespit edilmiştir. Ayrıca, yılın ayı etkisi açısından
Şubat, Ekim ve Kasım aylarının Bitcoin üzerinde pozitif ve anlamlı, Litecoin
getirilerinde ise Ağustos ayının negatif ve anlamlı etkisiolduğu
belirlenmiştir.

Anahtar Kelimeler

Kripto paralar, Haftanın Günü Etkisi, Yılın Ayı Etkisi, GARCH

Kaynakça

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