TY  - JOUR
T1  - Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets
TT  - Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets
AU  - Eyüboğlu, Kemal
PY  - 2018
DA  - June
DO  - 10.18074/ckuiibfd.376055
JF  - Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
PB  - Çankırı Karatekin Üniversitesi
WT  - DergiPark
SN  - 1308-5549
SP  - 165
EP  - 183
VL  - 8
IS  - 1
LA  - en
AB  - Cryptocurrencytechnology works on a network that allows people to make payment all over theworld without need of any intermediary. Since the development of this technology,it has received much attention and price of cryptocurrencies has beenincreasing rapidly and become very volatile. This paper examines the day of theweek 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 indicatesignificant presence of the day of the week and month of the year effects inBitcoin and Litecoin returns. It is determined that Monday, Tuesday and Fridayhave significant positive effects on Bitcoin and negative Saturday effect onLitecoin returns. Also February, October and November have significant andpositive effect on Bitcoin, significant and negative August effect on Litecoinreturns in terms of month of the year effect.
KW  - Cryptocurrency
KW  - Day of the Week Effect
KW  - Month of the Year Effect
KW  - GARCH
N2  - Kripto parateknolojisi, insanların herhangi bir aracıya ihtiyaç duymadan dünyanın dört biryanında ödeme yapmalarını sağlar ve internet üzerinden çalışır. Bu teknolojininortaya çıkışı ile dikkatler bu paralara çevrilmiş, fiyatları hızla artmayabaşlamış ve aynı zamanda oynak hale gelmişlerdir. Bu çalışmada GARCH (1,1)modeli kullanılarak Bitcoin ve Litecoin piyasalarında haftanın günü ve yılınayı etkilerinin varlığı incelenmiştir. Çalışma dönemi 1 Mayıs 2013-21 Aralık2016 arasını kapsamaktadır. Elde edilen sonuçlar Bitcoin ve Litecoingetirilerinde haftanın günü ve yılın ayı etkilerinin var olduğunugöstermektedir. Pazartesi, Salı ve Cuma günlerinin Bitcoin getirileri üzerindepozitif ve anlamlı, Cumartesi’nin ise Litecoin getirileri üzerinde negatif veanlamlı etkisi olduğu tespit edilmiştir. Ayrıca, yılın ayı etkisi açısındanŞubat, Ekim ve Kasım aylarının Bitcoin üzerinde pozitif ve anlamlı, Litecoingetirilerinde ise Ağustos ayının negatif ve anlamlı etkisiolduğubelirlenmiştir.
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UR  - https://doi.org/10.18074/ckuiibfd.376055
L1  - https://dergipark.org.tr/tr/download/article-file/498231
ER  -