Examining The Existence Of Day-Of-Week And Month-Of-Year Anomalies In Bitcoin

Yıl 2022, Cilt: 11 Sayı: 1, 162 - 183, 27.03.2022

Cagri Hamurcu

https://doi.org/10.53306/klujfeas.1062270

Cited By: 2

Öz

The main purpose of this study is to reveal whether seasonal/time-oriented/calendar anomalies affect the price and transaction volume of Bitcoin. Day of the week and month of the year anomalies are examined in this context. The data for the years 2013-2021 are handled in 3 different sampling periods, consisting of the whole of this time period and each of its divided parts. The existence of these anomalies is analyzed with EGARCH models created separately. The most important conclusion reached in this study is that the analyzed anomalies differ according to the sampling periods. The common findings reached as a result of the analyzes for all three time intervals are as follows: It has been determined that Monday has positive effects in terms of both Bitcoin return and transaction volume, while Saturday has negative effects only regarding transaction volume. Mondays, Tuesdays, and Wednesdays create volatility-increasing effects concerning returns, Friday, Saturday and Sunday reduce volatility. In terms of trading volume, Monday and Tuesday reduce volatility, while Thursday and Friday increase volatility. Whereas March has a positive effect on return volatility, it has a negative effect on trading volume volatility, and September has only a negative effect on return volatility.

Anahtar Kelimeler

behavioral finance, bitcoin, day of the week, anomaly, EGARCH

Bitcoin'de Haftanın Günü Ve Yılın Ayı Anomalilerinin Varlığının İncelenmesi

Öz

Bu çalışmanın temel amacı, mevsimsel/zaman odaklı/takvim anomalilerin Bitcoin fiyatını ve işlem hacmini etkileyip etkilemediğini ortaya çıkarmaktır. Haftanın günü ve yılın ayı anomalileri bu kapsamda incelenmiştir. 2013-2021 yıllarına ait veriler, bu sürenin tamamından ve bölünmüş bölümlerinden oluşan 3 farklı örnekleme döneminde ele alınmıştır. Bu anomalilerin varlığı ayrı ayrı oluşturulan EGARCH modelleri ile analiz edilmiştir. Bu çalışmada ulaşılan en önemli sonuç, analiz edilen anomalilerin örnekleme periyotlarına göre farklılık gösterdiğidir. Her üç zaman aralığı için yapılan analizler sonucunda ulaşılan ortak bulgular şu şekidedir: Pazartesi gününün hem Bitcoin getirisi hem de işlem hacmi açısından olumlu etkilerinin olduğu, Cumartesi gününün ise sadece işlem hacmi açısından olumsuz etkileri olduğu belirlenmiştir. Pazartesi, Salı ve Çarşamba günleri getiriler üzerinde oynaklığı artırıcı etkiler yaratmakta, Cuma, Cumartesi ve Pazar günleri oynaklığı azaltmaktadır. İşlem hacmi açısından Pazartesi ve Salı oynaklığı azaltırken, Perşembe ve Cuma oynaklığı artırmaktadır. Mart ayı getiri oynaklığı üzerinde olumlu bir etki yaratırken, işlem hacmi oynaklığı üzerinde olumsuz bir etki yaratmaktadır ve ayrıca Eylül ayı ise yalnızca getiri oynaklığı üzerinde olumsuz bir etki oluşturmaktadır.

Anahtar Kelimeler

davranışsal finans, bitcoin, haftanın günü, anomali, EGARCH

Kaynakça

• Abraham, J., Sutiksno, D. U., Kurniasih, N., & Warokka, A. (2019). Acceptance and Penetration of Bitcoin: The Role of Psychological Distance and National Culture. SAGE Open, 9(3). https://doi.org/10.1177/2158244019865813
• Aharon, D. Y., & Qadan, M. (2019). Bitcoin and the Day-of-the-week Effect. Finance Research Letters, 31, 415-424. https://doi.org/10.1016/j.frl.2018.12.004
• Baur, D. G., Cahill, D., Godfrey, K., & Liu, Z. F. (2019). Bitcoin Time-of-day, Day-of-week and Month-of-year Effects in Returns and Trading Volume. Finance Research Letters, 31, 78-92. https://doi.org/10.1016/j.frl.2019.04.023
• Brahmana, R., Hooy, C. W., & Ahmad, Z. (2012). The Role Of Herd Behaviour In Determining The Investor's Monday Irrationality. Asian Academy of Management Journal of Accounting & Finance, 8(2), 1-20.
• http://web.usm.my/journal/aamjaf/vol%208-2-2012/AAMJAF8-2-2012(1-20).pdf
• Caporale, G. M., & Plastun, A. (2019). The Day of the Week Effect in the Cryptocurrency Market. Finance Research Letters, 31, 258-269. https://doi.org/10.1016/j.frl.2018.11.012
• Chan, M.W.L., Khanthavit, A. & Thomas, H. Seasonality and Cultural Influences on Four Asian Stock Markets. Asia Pacific Journal of Management, 13(2), 1-24. https://doi.org/10.1007/BF01733814
• Georgantopoulos, A. G., Kenourgios, D., & Tsamis, A. (2011). Calendar Anomalies in Emerging Balkan Equity Markets. International Economics and Finance Journal, 6(1), 67-82. https://ssrn.com/abstract=1856983
• Gkillas, K., Bekiros, S., & Siriopoulos, C. (2018). Extreme Correlation in Cryptocurrency Markets. https://dx.doi.org/10.2139/ssrn.3180934
• Guidi, F., Gupta, R., & Maheshwari, S. (2011). Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets. Journal of Emerging Market Finance, 10(3), 337-389. https://doi.org/10.1177/097265271101000304
• Kaiser, L. (2019). Seasonality in Cryptocurrencies. Finance Research Letters, 31, 232–238. https://doi.org/10.1016/j.frl.2018.11.007
• Katsiampa, P., Corbet, S., & Lucey, B. (2019). Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK-MGARCH Analysis. Finance Research Letters, 29, 68-74. https://doi.org/10.1016/j.frl.2019.03.009
• Kinateder, H., & Papavassiliou, V. G. (2019). Calendar Effects in Bitcoin Returns and Volatility. Finance Research Letters, 101420. https://doi.org/10.1016/j.frl.2019.101420
• Kumar, S., & Goyal, N. (2015). Behavioural Biases in Investment Decision Making–a Systematic Literature Review. Qualitative Research in Financial Markets, 7(1), 88-108. https://doi.org/10.1108/QRFM-07-2014-0022
• Lakonishok, J., & Maberly, E. (1990). The Weekend Effect: Trading Patterns of Individual and Institutional Investors. The Journal of Finance, 45(1), 231-243. https://doi.org/10.1111/j.1540-6261.1990.tb05089.x
• Lakonishok, J., & Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-year Perspective. The Review of Financial Studies, 1(4), 403-425. https://doi.org/10.1093/rfs/1.4.403
• Long, H., Zaremba, A., Demir, E., Szczygielski, J. J., & Vasenin, M. (2020). Seasonality in the Cross-section of Cryptocurrency Returns. Finance Research Letters, 35, 101566. https://doi.org/10.1016/j.frl.2020.101566
• Ma, D., & Tanizaki, H. (2019). The Day-of-the-week Effect on Bitcoin Return and Volatility. Research in International Business and Finance, 49, 127-136. https://doi.org/10.1016/j.ribaf.2019.02.003
• Mbanga, C. L. (2019). The Day-of-the-week Pattern of Price Clustering in Bitcoin. Applied Economics Letters, 26(10), 807-811. https://doi.org/10.1080/13504851.2018.1497844
• Ong, L. (2006). Seasonalities in China's Stock Markets: Cultural or Structural?. IMF Working Paper No. 06/4, Available at SSRN: https://ssrn.com/abstract=888149 or http://dx.doi.org/10.2139/ssrn.888149 http://dx.doi.org/10.2139/ssrn.888149
• Osterrieder, J., Lorenz, J., & Strika, M. (2016). Bitcoin and Cryptocurrencies-not for the Faint-Hearted. Available at SSRN 2867671. https://dx.doi.org/10.2139/ssrn.2867671
• Park, B. J. (2011). Herd Behavior and Volatility in Financial Markets. Journal of the Korean Data and Information Science Society, 22(6), 1199-1215. https://www.koreascience.or.kr/article/JAKO201109649112606.page
• Qadan, M., Aharon, D. Y., & Eichel, R. (2021). Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies. Finance Research Letters, 102354. https://doi.org/10.1016/j.frl.2021.102354
• Seif, M., Docherty, P., & Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Emerging Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181. https://doi.org/10.1016/j.qref.2017.02.009
• Szyszka A. (2013). Asset-Pricing Anomalies and Investment Strategies. In: Behavioral Finance and Capital Markets. Palgrave Macmillan, New York. https://doi.org/10.1057/9781137366290_5
• Yardımcı, B. and Erdem, S. (2020), The Day of the Week Effects in Stock Markets of Countries with Predominantly Muslim Populations, International Journal of Islamic and Middle Eastern Finance and Management, 13(2), 195-218. https://doi.org/10.1108/IMEFM-06-2018-0199