The Day of the Week Effect in Euro and Bitcoin: Evidence from Volatility Models

Year 2022, Volume: 6 Issue: 10, 1 - 17, 31.08.2022

Süreyya İmre , Olcay Ölçen

Abstract

In order to understand relationships between different currencies, Econometrics presents us a lot of tools. One of these tools ARCH Models are often used by many papers. On the other side, anomalies, and volatilities are the main psychological results of financial markets. This paper, it is aimed to determine some anomalies of currencies with an ARCH model as EGARCH (p, q) model with data 03.02.2014-31.12.2020 period on Bitcoin and Euro Currency. It is made in this paper clear that financial investors behave towards financial assets within anomalies and volatilities. Therefore, it is proved that the main focal point of financial epistemology should be anomalies, so volatilities also in financial innovations.

Keywords

Bitcoin, Euro, Day of the week anomaly

Euro ve Bitcoin'de Haftanın Günleri Etkisi: Volatilite Modellerinden Kanıtlar

Abstract

Ekonometri, farklı para birimleri arasındaki ilişkileri anlamak için bize birçok araç sunmaktadır. Bu araçlardan biri olan ARCH Ailesi Modelleri, birçok makalede sıklıkla kullanılmaktadır. Öte yandan, anomaliler, dolayısıyla oynaklıklar finansal piyasaların temel psikolojik sonuçlarıdır. Bu çalışmada, Bitcoin ve Euro Para Birimi için 03.02.2014-31.12.2020 dönemi verileri kullanılarak EGARCH (p, q) modeli ile haftanın günleri anomalilerinin belirlenmesi amaçlanmaktadır. Bitcoin için elde edilen sonuçlar neticesinde; Cuma günleri hariç hafta içi her gün Bitcoin getiri serisinde haftanın günü anomalisinin varlığı tespit edilmiştir. Euro getiri serisi için elde edilen sonuçlara göre Perşembe günleri hariç Euro getiri serisinde haftanın günü anomalisi tespit edilememiştir. Bu makalede finansal yatırımcıların, anomaliler ve oynaklıklar içinde finansal varlıklara yönelik davrandıkları açıkça belirtilmiştir. Bu nedenle finansın ana odak noktasının anomaliler olması gerektiği, dolayısıyla finansal yeniliklerde de oynaklıkların olması gerektiği kanıtlanmıştır.

Keywords

Bitcoin, Euro, Haftanın günü anomalisi

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