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

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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