Examining The Existence Of Day-Of-Week And Month-Of-Year Anomalies In Bitcoin

Year 2022, , 162 - 183, 27.03.2022

Cagri Hamurcu

https://doi.org/10.53306/klujfeas.1062270

Cited By: 2

Abstract

The main purpose of this study is to reveal whether seasonal/time-oriented/calendar anomalies affect the price and transaction volume of Bitcoin. Day of the week and month of the year anomalies are examined in this context. The data for the years 2013-2021 are handled in 3 different sampling periods, consisting of the whole of this time period and each of its divided parts. The existence of these anomalies is analyzed with EGARCH models created separately. The most important conclusion reached in this study is that the analyzed anomalies differ according to the sampling periods. The common findings reached as a result of the analyzes for all three time intervals are as follows: It has been determined that Monday has positive effects in terms of both Bitcoin return and transaction volume, while Saturday has negative effects only regarding transaction volume. Mondays, Tuesdays, and Wednesdays create volatility-increasing effects concerning returns, Friday, Saturday and Sunday reduce volatility. In terms of trading volume, Monday and Tuesday reduce volatility, while Thursday and Friday increase volatility. Whereas March has a positive effect on return volatility, it has a negative effect on trading volume volatility, and September has only a negative effect on return volatility.

Keywords

behavioral finance, bitcoin, day of the week, anomaly, EGARCH

Bitcoin'de Haftanın Günü Ve Yılın Ayı Anomalilerinin Varlığının İncelenmesi

Abstract

Bu çalışmanın temel amacı, mevsimsel/zaman odaklı/takvim anomalilerin Bitcoin fiyatını ve işlem hacmini etkileyip etkilemediğini ortaya çıkarmaktır. Haftanın günü ve yılın ayı anomalileri bu kapsamda incelenmiştir. 2013-2021 yıllarına ait veriler, bu sürenin tamamından ve bölünmüş bölümlerinden oluşan 3 farklı örnekleme döneminde ele alınmıştır. Bu anomalilerin varlığı ayrı ayrı oluşturulan EGARCH modelleri ile analiz edilmiştir. Bu çalışmada ulaşılan en önemli sonuç, analiz edilen anomalilerin örnekleme periyotlarına göre farklılık gösterdiğidir. Her üç zaman aralığı için yapılan analizler sonucunda ulaşılan ortak bulgular şu şekidedir: Pazartesi gününün hem Bitcoin getirisi hem de işlem hacmi açısından olumlu etkilerinin olduğu, Cumartesi gününün ise sadece işlem hacmi açısından olumsuz etkileri olduğu belirlenmiştir. Pazartesi, Salı ve Çarşamba günleri getiriler üzerinde oynaklığı artırıcı etkiler yaratmakta, Cuma, Cumartesi ve Pazar günleri oynaklığı azaltmaktadır. İşlem hacmi açısından Pazartesi ve Salı oynaklığı azaltırken, Perşembe ve Cuma oynaklığı artırmaktadır. Mart ayı getiri oynaklığı üzerinde olumlu bir etki yaratırken, işlem hacmi oynaklığı üzerinde olumsuz bir etki yaratmaktadır ve ayrıca Eylül ayı ise yalnızca getiri oynaklığı üzerinde olumsuz bir etki oluşturmaktadır.

Keywords

davranışsal finans, bitcoin, haftanın günü, anomali, EGARCH

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