DAY-OF-THE-WEEK EFFECT ON BITCOIN RETURNS AND VOLUME CHANGES ACROSS DIFFERENT FIAT CURRENCIES

Öz

Calendar anomalies that challenge the Efficient Market Hypothesis (EMH) have been a topic of ongoing interest across different asset markets. In recent years, similar research has been extended to cryptocurrency markets, which have received increasing attention in the finance literature. However, most of these studies have only focused on cryptocurrency returns calculated in US dollars and usually only investigated the impact of calendar anomalies on returns. Building on this gap, this study aims to investigate the presence of a day-of-the-week effect on both the daily returns of Bitcoin across eight different currencies and its daily trading volume changes. Analyzing data from September 19, 2014, to February 1, 2024, the study employs the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to investigate the presence of the day of the week effects on returns and volume in the cryptocurrency market. According to the findings, although this study has identified day-of-the-week effects on BTC returns and trading volumes across different currencies, the returns of potential BTC portfolios constructed based on these effects have not been simulated.

Anahtar Kelimeler

• BTC returns
• BTC volume
• day-of-the-week effect
• fiat currencies
• GARCH analysis

Kaynakça

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