Calendar Anomalies in NFT Coins

Öz

This study examines the effect of day-of-the-week, month-of-the-year, and turn-of-the-month anomalies on NFT coins (Stacks, Tezos, and Decentraland) and Bitcoin. To this end, the generalized autoregressive conditional heteroscedasticity (GARCH) model was employed over the period 2019–2023. Based on the day-of-the-week anomaly results, Bitcoin has lower returns on Thursdays and Fridays, and Stacks has lower returns on Wednesdays. The remaining coins do not exhibit that anomaly. According to the month-of-the-year effect results, all evaluated coins generate abnormal returns in January. Moreover, positive returns are also reported in February for Tezos, Decentraland, and Bitcoin. Additionally, Bitcoin has positive returns in March as well. Furthermore, besides January, Stacks has significantly positive returns in April and May. Finally, the results of the turn-of-the-month anomaly suggest that only Stacks has statistically significant and positive returns on the last day of the month and the next three days. The remaining cryptocurrencies do not have such an anomaly. Overall, the findings of this study suggest the existence of calendar anomalies in the cryptocurrency market that contradict the assumptions of market efficiency. By using these outcomes, investors may develop trading strategies for their portfolio selection; hence, by taking advantage of the market, they could earn unusual profits.

Anahtar Kelimeler

• Calendar Anomalies
• Efficient Markets
• Cryptocurrencies

NFT Paralarında Takvim Anomalileri

Öz

Bu çalışma, haftanın günü, yılın ayı ve ayın dönüşü anomalilerinin NFT coinleri (Stacks, Tezos ve Decentraland) ve Bitcoin üzerindeki etkisini incelemektedir. Bu amaçla, 2019-2023 dönemi için genelleştirilmiş otoregresif koşullu değişen varyans (GARCH) modeli kullanılmıştır. Haftanın günü anomalisi sonuçlarına göre, Bitcoin perşembe ve cuma günleri, Stacks ise çarşamba günleri daha düşük getiri sağlamaktadır. Diğer kripto paralarda bu anomali görülmemektedir. Yılın ayı etkisi sonuçlarına göre, değerlendirilen tüm kripto paralar ocak ayında anormal getiri sağlamaktadır. Ayrıca, Tezos, Decentraland ve Bitcoin için şubat ayında da pozitif getiriler rapor edilmiştir. Ek olarak, Bitcoin mart ayında da pozitif getiriye sahiptir. Ayrıca, ocak ayının yanı sıra, Stacks Nisan ve Mayıs aylarında önemli ölçüde pozitif getiriye sahiptir. Son olarak, ay dönümü anomalisinin sonuçları, yalnızca Stacks'ın ayın son gününde ve sonraki üç günde istatistiksel olarak anlamlı ve pozitif getirilere sahip olduğunu göstermektedir. Geri kalan kripto para birimlerinde böyle bir anomali bulunmamaktadır. Genel olarak, bu çalışmanın bulguları kripto para piyasasında piyasa etkinliği varsayımlarını ihlal eden takvim anomalilerinin varlığına işaret etmektedir. Yatırımcılar bu sonuçları kullanarak portföy seçimleri için alım satım stratejileri geliştirebilir; dolayısıyla piyasadan faydalanarak olağandışı kârlar elde edebilirler.

Anahtar Kelimeler

• Takvim Anomalileri
• Etkin Piyasalar
• Kripto Paralar

Kaynakça

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